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An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944

Kann das Minimumvarianz-Portfolio eine bessere Performance als der Aktienindex besitzen?

Bamberg, Günter; Neuhierl, Andreas - In: Die Betriebswirtschaft : DBW 68 (2008) 6, pp. 637-653

Persistent link: https://www.econbiz.de/10003780057

On the Benefits of Equicorrelation for Portfolio Allocation

Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2013

The importance of modelling correlation has long been recognised in the field of portfolio management with large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating a number of...

Persistent link: https://www.econbiz.de/10010854931

Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva-tives” is to highlight some areas in which novel...

Persistent link: https://www.econbiz.de/10010907433

Volatility timing: How best to forecast portfolio exposures

Clements, A.; Silvennoinen, A. - In: Journal of Empirical Finance 24 (2013) C, pp. 108-115

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of...

Persistent link: https://www.econbiz.de/10011042113

On the economic benefit of utility based estimation of a volatility model

Clements, Adam; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2009

Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and subsequently used in an economic setting such...

Persistent link: https://www.econbiz.de/10005015195

Forecasting multivariate volatility in larger dimensions: some practical issues

Clements, Adam E; Scott, Ayesha; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2012

The importance of covariance modelling has long been recognised in the field of portfolio management and large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating whether simpler...

Persistent link: https://www.econbiz.de/10009645703

Volatility timing and portfolio selection: How best to forecast volatility

Clements, Adam E; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2011

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility...

Persistent link: https://www.econbiz.de/10009645704

Portfolio allocation: Getting the most out of realised volatility

Clements, Adam; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2010

Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive economic value in the context of portfolio allocation....

Persistent link: https://www.econbiz.de/10008562388

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2015

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments' time-series and cross-sectional properties. We investigate if this week's realized moments are informative for the cross-section of next week's stock returns. We...

Persistent link: https://www.econbiz.de/10014179412