Narrow search
Showing 1 - 10 of 40,198
Cover Image
Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional … systems by means of a two-step strategy. The finite sample properties of the GMM estimator of the combination weights are … combination ; GMM ; portfolio optimization …
Persistent link: https://www.econbiz.de/10003796201
Cover Image
Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...
Persistent link: https://www.econbiz.de/10013404229
Cover Image
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
Persistent link: https://www.econbiz.de/10012584099
Cover Image
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
Persistent link: https://www.econbiz.de/10013040932
Cover Image
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...
Persistent link: https://www.econbiz.de/10012253083
Cover Image
Dynamic factor GARCH: Multivariate volatility forecast for a large number of series
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2007
We propose a new method for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the multivariate Generalized Autoregressive Conditionally Heteroskedastic (GARCH) model. We assume that the dynamic common factors are conditionally heteroskedastic. The GDFM,...
Persistent link: https://www.econbiz.de/10010328519
Cover Image
Momentum Without Crashes
Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022
We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...
Persistent link: https://www.econbiz.de/10014236192
Cover Image
Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10013316571
Cover Image
Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets
Deng, Qi; Zhou, Zhong-Guo - 2023
We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...
Persistent link: https://www.econbiz.de/10014349884