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Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …

Persistent link: https://www.econbiz.de/10012421289

Portfolio construction based on implied correlation information and value at risk

Rogel-Salazar, Jesús; Tella, Roberto - In: EconoQuantum : Revista de Economía y Negocios 12 (2015) 1, pp. 125-144

Persistent link: https://www.econbiz.de/10011558686

Shrinking beta

Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44

Persistent link: https://www.econbiz.de/10013549669

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

Persistent link: https://www.econbiz.de/10011920525

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

Using principal component analysis to estimate a highdimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - 2017

Persistent link: https://www.econbiz.de/10012806600

Portfolio Optimization and a Factor Model in a Stochastic Volatility Market

Lindberg, Carl - 2009

The aim of this paper is to ﬁnd optimal portfolio strategies for an n-stock extension of the stochastic volatility …

Persistent link: https://www.econbiz.de/10013155780

Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563

Persistent link: https://www.econbiz.de/10013364893

Long-run wavelet-based correlation for financial time series

Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696

Persistent link: https://www.econbiz.de/10011890368