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Persistent link: https://www.econbiz.de/10012189051
Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of...
Persistent link: https://www.econbiz.de/10014902063
Forecasting portfolio risk requires both, estimation of marginal return distributions for individual assets and the dependence structure of returns as well. In this paper, we concentrate on Value at Risk as a popular risk measure and combine elliptical copulas with time varying Dynamic...
Persistent link: https://www.econbiz.de/10010827701
We study the statistical properties of the Bitcoin return series and provide a thorough forecasting exercise. Also, we calibrate state‐of‐the‐art machine learning techniques and compare the results with econometric time series models. The empirical assessment provides evidence that the...
Persistent link: https://www.econbiz.de/10015106448
This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often referred to in the media and academia. In order to test the Baur and Lucey (2010) hypotheses, we contribute to the existing literature by the augmentation of their model to a smooth...
Persistent link: https://www.econbiz.de/10010904077
This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often referred to in the media and academia. In order to test the Baur and Lucey [2010] hypotheses, we contribute to the existing literature by the augmentation of their model to a smooth...
Persistent link: https://www.econbiz.de/10013028693
This study deals with the issue whether gold actually exhibits the function of a hedge or a safe haven as often referred to in the media and academia. In order to test the Baur and Lucey (2010) hypotheses, we contribute to the existing literature by the augmentation of their model to a smooth...
Persistent link: https://www.econbiz.de/10010399913
Persistent link: https://www.econbiz.de/10010476248
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Persistent link: https://www.econbiz.de/10010520086