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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10009363828
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Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004
conditional skewness and kurtosis information, when forming direction-of-change forecasts. …Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005091204
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005109605
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Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2005
from normality, the mean-variance criterion can lead to portfolio weights that differ signifficantly from those obtained … use the sub- optimal mean-variance criterion can be very large. …
Persistent link: https://www.econbiz.de/10005612065
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Non-Standard Errors in Portfolio Sorts
Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022
We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...
Persistent link: https://www.econbiz.de/10013404257
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Cross-sectional and time-series tests of return predictability : what is the difference?
Goyal, Amit; Jegadeesh, Narasimhan - 2015
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
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Selectivity and market timing ability of fund managers : comparative analysis of Islamic and conventional HSBC Saudi mutual funds
Zouaoui, Marwa - In: International Journal of Financial Studies : open … 7 (2019) 3/48, pp. 1-19
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...
Persistent link: https://www.econbiz.de/10012150279
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
these models the analytical expressions of implied probability densities, implied volatility smile functions and several …
Persistent link: https://www.econbiz.de/10010745304
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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …
Persistent link: https://www.econbiz.de/10011071378