Similar Search Results

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah - 2021

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

Persistent link: https://www.econbiz.de/10013247805

Behavioral Finance and Technical Analysis

Dehnad, Kosrow - In: Journal of Financial Transformation 32 (2011), pp. 107-111

Abstract Behavioural finance has challenged many claims of efficient market hypothesis (EMH). Unfortunately many of these challenges are in the form of anecdotal evidence and lack quantification. This article uses market data together with some simple statistics to show that in practice certain...

Persistent link: https://www.econbiz.de/10009319869

A Gaussian Mixture Hidden Markov Model for the VIX

Aigner, Andreas A. - 2023

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...

Persistent link: https://www.econbiz.de/10014356167

The Nature of Volatility Spillovers across the International Capital Markets

Peralta, Gustavo - 2016

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012995260

The Nature of Volatility Spillovers Across the International Capital Markets

Peralta, Gustavo - 2019

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012868889

Modeling volatility persistence and asymmetry with exogenous breaks in the Nigerian stock returns

Kuhe, David A. - In: CBN Journal of Applied Statistics 09 (2018) 1, pp. 167-196

This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study utilizes daily closing quotations of stock prices from the Nigerian stock exchange for the period 3rd July, 1999 to 12th June, 2017. Standard symmetric GARCH (1,1), asymmetric...

Persistent link: https://www.econbiz.de/10011961674

Automated financial multi-path GETS modelling

Sucarrat, Genaro; Escribano, Alvaro - Departamento de Economía, Universidad Carlos III de Madrid - 2009

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of … that overcome many of the problems, and develop a simple but general and flexible algorithm that automates financial multi …-path GETS modelling. Starting from a general model where the mean specification can contain autoregressive (AR) terms and …

Persistent link: https://www.econbiz.de/10008543188

A Range-Based GARCH Model for Forecasting Volatility

Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2003

A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the...

Persistent link: https://www.econbiz.de/10008562644

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...

Persistent link: https://www.econbiz.de/10008567826

Multivariate GARCH models

Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008

This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example...

Persistent link: https://www.econbiz.de/10005114123