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Measurement of Current Market Correlations Based on Ensemble Statistics

Sarkissian, Jack - 2019

correlation-drawdown hysteresis effect. The eCORR index promises to be useful for early detection of market correlations, managing …

Persistent link: https://www.econbiz.de/10012895857

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...

Persistent link: https://www.econbiz.de/10012022157

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

correlation model to have been developed to date, namely the widely used Dynamic Conditional Correlation (DCC) model. Dynamic …

Persistent link: https://www.econbiz.de/10012022209

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model

Yang, Minxian - 2011

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …

Persistent link: https://www.econbiz.de/10013133961

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

Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets

Guidi, Francesco; Gupta, Rakesh - 2023

structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …

Persistent link: https://www.econbiz.de/10014353334

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Machine-learning-based semiparametric time series conditional variance : estimation and forecasting

Dang, Justin; Ullah, Aman - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...

Persistent link: https://www.econbiz.de/10012814196

Predicting the global minimum variance portfolio

Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

Persistent link: https://www.econbiz.de/10012243462