Similar Search Results

Detecting common bubbles in multivariate mixed causal-noncausal models

Cubadda, Gianluca; Hecq, Alain W. J.; Voisin, Elisa - In: Econometrics : open access journal 11 (2023) 1, pp. 1-16

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series …

Persistent link: https://www.econbiz.de/10014281488

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in …

Persistent link: https://www.econbiz.de/10014281494

Economic value of modeling the joint distribution of returns and volatility: leverage timing

Çakmaklı, Cem; Öztürk, Verda - 2021

We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this by incorporating the potentially asymmetric links into the system of 'independent' predictive regressions of returns and volatility, allowing for asymmetric cross-correlations,...

Persistent link: https://www.econbiz.de/10012597041

Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios

Liu, Zhenya - 2017

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relative low correlated portfolios, relatively to fractional Kelly...

Persistent link: https://www.econbiz.de/10012960889

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Carvalho, Carlos M. - 2018

coefficients, volatilities, and covariances should vary over time. When applied to a portfolio of five stock and bond returns, we … relative to a standard no-predictability benchmark, the optimal combination of predictors, stochastic volatility, and time …

Persistent link: https://www.econbiz.de/10012910552

Estimation of Multivariate Asset Models with Jumps

Loregian, Angela - 2018

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

Persistent link: https://www.econbiz.de/10012937321

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Bisetti, Emilio - 2014

This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector balance sheets. Longevity-linked securities are a...

Persistent link: https://www.econbiz.de/10013053624

Investing in Emerging Markets : An Asymmetric Stochastic Multivariate Volatility Model to Diversify Efficiently a Portfolio of Assets

Rannou, Yves - 2014

time. Many studies find that the expected returns have time-varying components that are partially predictable, and … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … over time incorporating a Gibbs sampling to estimate posterior returns.Our empirical research captures most of the …

Persistent link: https://www.econbiz.de/10013055149

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Bisetti, Emilio - 2015

Generalized unexpected raise in life expectancy is a source of aggregate risk. Longevity‐linked securities are a natural instrument to reallocate these risks by making them tradeable in the financial market. This paper extends the Campbell and Viceira (2005) strategic asset allocation model...

Persistent link: https://www.econbiz.de/10013018475

Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach

B. Sabino da Silva, Fernando - 2018

Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...

Persistent link: https://www.econbiz.de/10012931953