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Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting …

Persistent link: https://www.econbiz.de/10009714536

Uncertain risk parity

Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10012805357

Robust optimization of time series momentum portfolios

Fague, Jeremy; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 1, pp. 52-69

Persistent link: https://www.econbiz.de/10012616154

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

The variance implied conditional correlation

Algaba, Andres; Boudt, Kris; Vanduffel, Steven - In: The European journal of finance 26 (2020) 2/3, pp. 200-222

Persistent link: https://www.econbiz.de/10012207197

Sparse multivariate GARCH

Wu, Jianbin; Dhaene, Geert - 2016

Persistent link: https://www.econbiz.de/10011707052

A machine learning approach to volatility forecasting

Christensen, Kim; Siggaard, Mathias Voldum; Veliyev, … - 2021

Persistent link: https://www.econbiz.de/10012434010

Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data

Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wang, Yazhen - In: Journal of econometrics 203 (2018) 1, pp. 69-79

Persistent link: https://www.econbiz.de/10011974617

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms’ assets as an index of retail investors’ attention. Thus, we create an...

Persistent link: https://www.econbiz.de/10011711085