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Active portfolio management for the emerging and frontier markets : the use of multivariate time series forecasts
Tri Hoang - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...
Persistent link: https://www.econbiz.de/10013391097
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On Long Memory Behaviour and Predictability of Financial Markets
Vo, Long - 2017
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10012956295
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Combining Dimensionality Reduction with Neural Networks for Realized Volatility Forecasting
He, Lidan; Bucci, Andrea; Liu, Zhi - 2021
Factorization (NMF) and Least Absolute Shrinkage and Selection Operator (LASSO) with hybrid artificial neutral networks to forecast …
Persistent link: https://www.econbiz.de/10013233916
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The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility
Degiannakis, Stavros Antonios - 2018
Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …
Persistent link: https://www.econbiz.de/10012910114
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
construct a proxy of the adjustment factor using the sequence of dispersion of analysts earnings forecast. We provide empirical …
Persistent link: https://www.econbiz.de/10012487731
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Covariance Forecasting in Equity Markets
Symitsi, Efthymia - 2018
crisis, or, if a different forecast horizon, or, intraday sampling frequency is employed, respectively. Finally, our evidence …
Persistent link: https://www.econbiz.de/10012915984
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …
Persistent link: https://www.econbiz.de/10010407672
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …
Persistent link: https://www.econbiz.de/10010410031
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
forecast accuracy on simulated data and provide an empirical illustration on stock returns during the financial crisis of 2007-2008 …
Persistent link: https://www.econbiz.de/10013128339
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667