Similar Search Results

Large Dimensional Time-Varying GMM Estimation : A New Approach

Cui, Liyuan; Hong, Yongmiao; Wang, Junhui - 2021

We develop a novel machine learning method to estimate large dimensional time-varying GMM models via our newly designed ridge fusion regularization scheme. Our method is a one-step procedure and allows for abrupt, smooth and dual type time variation with a fast rate of convergence. It...

Persistent link: https://www.econbiz.de/10013234588

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …

Persistent link: https://www.econbiz.de/10013149486

CHICAGO: a fast and accurate method for portfolio risk calculation

Broda, Simon A.; Paolella, Marc S. - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

Persistent link: https://www.econbiz.de/10003961455

Optimal Portfolio Selection with a Shortfall Probability Constraint : Evidence from Alternative Distribution Functions

Akcay, Yalcin - 2010

We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results...

Persistent link: https://www.econbiz.de/10013148785

Too good to be true? : fallacies in evaluating risk factor models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Persistent link: https://www.econbiz.de/10011757568

Outliers Detection, Correction of Financial Time-Series Anomalies and Distributional Timing for Robust Efficient Higher-Order Moment Asset Allocations

Maillet, Bertrand B. - 2009

We propose a new methodology for abnormal return detection and correction, and evaluate the economic impacts of outliers on asset allocations with higher-order moments (Cf. Jurczenko et al., 2008). Indeed, extreme returns and outliers greatly affect empirical higher-order moment estimations (Cf....

Persistent link: https://www.econbiz.de/10013159253

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Carvalho, Carlos M. - 2018

We introduce a simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of features to include when jointly predicting monthly stock and bond excess returns. Our approach builds on the Bayesian Dynamic Linear Models of West and...

Persistent link: https://www.econbiz.de/10012910552

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10009728973

Black-Litterman in Continuous Time : The Case for Filtering

Davis, Mark - 2013

In this article, we extend the Black-Litterman approach to a continuous time setting. We model analyst views jointly with asset prices to estimate the unobservable factors driving asset returns. The key in our approach is that the filtering problem and the stochastic control problem are...

Persistent link: https://www.econbiz.de/10013082305

1
2
3
4
5
6
7
8
9
10
Next
Last