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Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23
using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …
Persistent link: https://www.econbiz.de/10011654443
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Beyond CAPM: an innovative factor model to optimize the risk and return trade-off
Andriotto, Mauro; Teti, Emanuele - In: Journal of business economics and management 15 (2014) 4, pp. 615-630
Persistent link: https://www.econbiz.de/10010415337
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FC approach in portfolio selection of Tehran's stock market
Shadkam, Elham - In: Journal of Asian finance, economics and business : JAFEB 1 (2014) 2, pp. 31-37
Persistent link: https://www.econbiz.de/10011687812
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …
Persistent link: https://www.econbiz.de/10014289044
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Copula-based factor models for multivariate asset returns
Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...
Persistent link: https://www.econbiz.de/10011654435
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Dynamic factor models : does the specification matter?
Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428
variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …
Persistent link: https://www.econbiz.de/10013326908
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …
Persistent link: https://www.econbiz.de/10011506397
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk …, the CAPM considers only one source of risk and supposes that investors only engage in similar behaviors. In order to … analyze short and long exposures to different sources of risk, we developed a Time-Frequency Multi-Betas Model with ARMA …
Persistent link: https://www.econbiz.de/10012500129
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A model-free identification of relative risk
Kuzmina, Olga - In: Economics letters 190 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012228132
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The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711