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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
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Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
Salado, Alejandro Iván Aguirre; Huerta, Humberto Vaquera; … - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 1, pp. 177-205
combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH …) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to … obtain uncorrelated residuals, which were later used for the analysis of extreme values. The GARCH, EGARCH and GJR-GARCH …
Persistent link: https://www.econbiz.de/10010823163
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The Economic Value of Distributional Timing
Jondeau, Eric; Rockinger, Michael - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10005858337
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The economic value of distributional timing
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a sighifiant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10003548056
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The Economic Value of Distributional Timing
Jondeau, Eric - 2007
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10012730895
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The Economic Value of Timing Higher Order (Co-)Moments in Bull and Bear Markets
Guidolin, Massimo - 2014
We examine the ex-post performance of optimal portfolios with predictable returns, when the investor horizon ranges from one month to ten years. Due to the investor's ability to forecast shifts between bull and bear markets, predictability involves the risk premium, volatility and correlations,...
Persistent link: https://www.econbiz.de/10013058136
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On the Importance of Time Variability in Higher Moments for Asset Allocation
Jondeau, Eric - 2016
It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution timing, defined here as the ability to use forecasts...
Persistent link: https://www.econbiz.de/10012999490
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Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...
Persistent link: https://www.econbiz.de/10011109117
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Right on target, or is it? The role of distributional shape in variance targeting
Anatolyev, Stanislav A.; Khrapov, Stanislav - In: Econometrics 3 (2015) 3, pp. 610-632
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …
Persistent link: https://www.econbiz.de/10011755296
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Right on target, or is it? : the role of distributional shape in variance targeting
Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …
Persistent link: https://www.econbiz.de/10011410634