Search Results - subject:"Optimal weights"

Portfolio hedging through a novel equity index based on the verified emissions of EU ETS-regulated firms

Chiappari, Mattia; Scotti, Francesco; Flori, Andrea - In: Economics letters 247 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015459989

Discovering interlinkages between major cryptocurrencies using high-frequency data : new evidence from COVID-19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Blockchain, crypto assets, and financial innovation : a …, (pp. 355-377). 2025

Persistent link: https://www.econbiz.de/10015433283

Forecasting Markov switching vector autoregressions : evidence from simulation and application

Cavicchioli, Maddalena - In: Journal of forecasting 44 (2025) 1, pp. 136-152

Persistent link: https://www.econbiz.de/10015374001

Advances in forecasting home prices

Guirguis, Hany; Mueller, Glenn; Dutra, Vaneesha Boney; … - In: Computational economics 65 (2025) 6, pp. 3633-3650

Persistent link: https://www.econbiz.de/10015590401

Conditionally optimal weights and forward-looking approaches to combining forecasts

Gibbs, Christopher G.; Vasnev, Andrey L. - In: International journal of forecasting 40 (2024) 4, pp. 1734-1751

Persistent link: https://www.econbiz.de/10015438507

Optimal forecast combination with mean absolute error loss

Chan, Felix; Pauwels, Laurent - 2023

Persistent link: https://www.econbiz.de/10014432760

Assessing the impact of renewable energy tokens on BRICS stock markets : a new diversification approach

Ali, Shoaib; Umar, Muhammad; Naveed, Muhammad; Shan, Shan - In: Energy economics 134 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015047119

Risk estimation, diversification, and optimal weights

Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015047334

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period. Based on optimal weights …

Persistent link: https://www.econbiz.de/10012317582

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012309325