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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …-Variance Optimization ; Asset Allocation ; International Portfolio Diversification. …
Persistent link: https://www.econbiz.de/10008990692
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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - 2010
Persistent link: https://www.econbiz.de/10008668594
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Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - In: The journal of asset management 12 (2011) 5, pp. 322-349
Persistent link: https://www.econbiz.de/10009377003
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Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence
Guidolin, Massimo - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …
Persistent link: https://www.econbiz.de/10013135227
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A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies
Fantazzini, Dean - 2019
This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...
Persistent link: https://www.econbiz.de/10012863029
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Sparse Multivariate Modeling for Stock Returns Predictability
Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021
We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
. In the longer run, however, a trade-off between diversification and climate action emerges. We derive the optimal carbon …
Persistent link: https://www.econbiz.de/10012258563
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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The Time Contradiction (in Asset Management and Asset Pricing) Between Investor Decision Horizons and Time Needed to Establish Skill
Muralidhar, Arun - 2017
much time does one need to establish a successful investment outcome as opposed to just experiencing noise? A simple … suggests that the time window to have high confidence in the efficacy of the approach utilized by most investors is much … greater than the typical horizon of these approaches – this is the time contradiction in investments. Alternatively, for a …
Persistent link: https://www.econbiz.de/10012971837
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Value, Momentum and Market Timing
Filippou, Ilias - 2016
We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …
Persistent link: https://www.econbiz.de/10013005248