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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios
Flint, Emlyn James - 2017
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...
Persistent link: https://www.econbiz.de/10012952837
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Dynamic Portfolio Management Strategies : A Framework for Historical Analysis
Seymour, Anthony - 2018
The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...
Persistent link: https://www.econbiz.de/10012914668
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …
Persistent link: https://www.econbiz.de/10011745369
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...
Persistent link: https://www.econbiz.de/10014348857
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...
Persistent link: https://www.econbiz.de/10012500129
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Asset Correlation and Credit Quality : The Basel Assumption
Zanganeh, Mohammad - 2013
The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …
Persistent link: https://www.econbiz.de/10013090503
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Statistical Modeling of Credit Default Swap Portfolios
Cont, Rama - 2011
We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...
Persistent link: https://www.econbiz.de/10013129079
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Эконометрический Анализ Финансовых Данных в Задачах Управления Риском (Econometric Analysis of Financial Data in Risk Management [Multidimensional Credit Risk Models - Cont.])...
Fantazzini, Dean - 2011
Данная часть завершает серию консультационных публикаций Деана Фантаццини на тему «Эконометрический анализ финансовых данных в задачах управления риском». В...
Persistent link: https://www.econbiz.de/10013121134
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Equity Market Information and Credit Risk Signaling : A Quantile Cointegrating Regression Approach
Gatfaoui, Hayette - 2018
-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship …
Persistent link: https://www.econbiz.de/10012934158