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Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242

Persistent link: https://www.econbiz.de/10012102423

Applying time series decomposition to construct index-tracking portfolio

Nakayama, Jun; Yokouchi, Daisuke - In: Asia-Pacific financial markets 25 (2018) 4, pp. 341-352

Persistent link: https://www.econbiz.de/10012033034

Parallel scenario decomposition of risk-averse 0-1 stochastic programs

Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105

Persistent link: https://www.econbiz.de/10011848149

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2017

Persistent link: https://www.econbiz.de/10011817412

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580