Showing 421 - 430 of 523
We propose a dynamic APT multi-factor model with time-varying volatility for currency, bond and stock returns for ten European countries over the period 1977-1997. We exploit the cross-sectional dimension of the model to construct world portfolios, which, when added to the original list of...
Persistent link: https://www.econbiz.de/10005497958
This article discusses the application of the EM algorithm to factor models with dynamic heteroscedasticity in the common factors. It demonstrates that the EM algorithm reduces the computational burden so much that researchers can estimate such models with many series. Two empirical applications...
Persistent link: https://www.econbiz.de/10005430087
The authors investigate whether the degree of autocorrelation shown by high frequency stock returns changes with volatility. This may result from nontrading effects, feedback trading strategies, or variable risk aversion. The authors' results indicate that when volatility is low, daily (and...
Persistent link: https://www.econbiz.de/10005393371
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...
Persistent link: https://www.econbiz.de/10004969776
Regression and SDF approaches with centered or uncentered moments and symmetric or asymmetric normalizations are commonly used to empirically evaluate linear factor pricing models. We show that unlike two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10011266978
We compare Semi-Nonparametric expansions of the Gamma distribution with alternative Laguerre expansions, showing that they substantially widen the range of feasible moments of positive random variables. Then, we combine those expansions with a component version of the Multiplicative Error Model...
Persistent link: https://www.econbiz.de/10011186623
We compare Semi-Nonparametric expansions of the Gamma distribution with alternative Laguerre expansions, showing that they substantially widen the range of feasible moments of positive random variables. Then, we combine those expansions with a component version of the Multiplicative Error Model...
Persistent link: https://www.econbiz.de/10011191446
We derive the likelihood function and score of factor models with dynamic heteroskedasticity, and the Kuhn-Tucker conditions defining the inequality restricted maximum likelihood estimators that guarantee a positive definite convariance matrix. We present three methods to compute the likelihood...
Persistent link: https://www.econbiz.de/10010898192
In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy...
Persistent link: https://www.econbiz.de/10010884540
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...
Persistent link: https://www.econbiz.de/10010884659