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Forecasting US equity and bond correlation : a machine learning approach
Wu, Boyu; DiCiurcio, Kevin J.; Yeo, Beatrice; Wang, Qian - In: The journal of financial data science 4 (2022) 1, pp. 76-86
The stock-bond correlation is a cornerstone of every asset allocation decision, but estimating it reliably can prove to … supervised machine learning techniques, this article presents a new approach for identifying key determinants of the correlation … growth, and inflation uncertainty, predict changes in correlation dynamics overtime. Relative to the existing literature, the …
Persistent link: https://www.econbiz.de/10014232586
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.; Refenes, Apostolos-Paul - In: The journal of futures markets 25 (2005) 2, pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246
Persistent link: https://www.econbiz.de/10010476900
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013
Persistent link: https://www.econbiz.de/10010191590
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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The cross-section of risk and returns
Daniel, Kent; Mota, Lira; Rottke, Simon; Santos, Tano - In: The review of financial studies 33 (2020) 5, pp. 1927-1979
Persistent link: https://www.econbiz.de/10012244727
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The cross-section of risk and return
Daniel, Kent; Mota, Lira; Rottke, Simon; Santos, Tano - 2017
Persistent link: https://www.econbiz.de/10011789209
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Evaluation of correlation forecasting models for risk management
Skintzi, Vasiliki D.; Xanthopoulos-Sisinis, Spyros - In: Journal of forecasting 26 (2007) 7, pp. 497-526
Persistent link: https://www.econbiz.de/10003593897
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Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management
Tsuji, Chikashi - In: International review of financial analysis 70 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012318292