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It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - 2014

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

Persistent link: https://www.econbiz.de/10010402299

On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

Persistent link: https://www.econbiz.de/10009782578

The horizon effect of stock return predictability and model uncertainty on portfolio choice : UK evidence

Li, Guangjie (contributor) - 2009

risky asset, and the UK Treasury bill as the risk free asset in forming the investor's portfolio. We identify the most …

Persistent link: https://www.econbiz.de/10003817180

Dynamic Asset Allocation under Regime Switching, Predictability and Parameter Uncertainty

Vo, Huy Thanh - 2013

This paper solves the dynamic asset allocation problem under stock return predictability based on the dividend price ratio with regime shifts and parameter uncertainty in a fully Bayesian framework. Intertemporal hedging demands are simultaneously induced by predictability, regime shifts,...

Persistent link: https://www.econbiz.de/10013089866

What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing

Haghani, Victor - 2019

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Persistent link: https://www.econbiz.de/10012902324

High-Frequency Betas and Cross Section of Expected Stock Returns in Southeast Asia

Arief, Usman - 2019

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns …-frequency betas associated with intraday continuous and discontinuous risk premia. To improve our consistency, we use several … statistical robustness levels and multiple frequencies. We empirically find that both continuous and discontinuous risk premia are …

Persistent link: https://www.econbiz.de/10012865363

Inference and Prediction of Stock Returns using Multilevel Models

Green, Brice - 2019

Multilevel models are a generalized form of traditional linear regression models and have several benefits relative to traditional OLS regression including the regularization of parameter estimates, the ability to incorporate prior information, better out-of-sample forecasts, desirable...

Persistent link: https://www.econbiz.de/10012867650