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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Tactical Timing of Low Volatility Equity Strategies
De Boer, Sanne - 2014
Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically delivered higher returns with lower risk than the...
Persistent link: https://www.econbiz.de/10013047895
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The VIX is Your FIX : a Flexible Strategy to Timing the Stock Market
Bonaparte, Yosef - 2020
We use the VIX and basic trading behavior to time entry and exit from the market. Our strategy captures 89% of the …
Persistent link: https://www.econbiz.de/10012829277
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
years. The diversification benefits implied by our empirical model are, moreover, strongly varied over time. These findings …Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … capture and forecast the conditional time-varying joint distribution of the oil-stocks pair accurately. Our realized GARCH …
Persistent link: https://www.econbiz.de/10010499593
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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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
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of 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...
Persistent link: https://www.econbiz.de/10003796201
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … the IV S itself and their movements across time by a multivariate time series of factor loadings. This paper focuses on … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
, including determinants of market and idiosyncratic volatilities. Flexibility in the time varying level of mean reversion …
Persistent link: https://www.econbiz.de/10003821063