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A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10013375264

Maximum likelihood estimation for the fractional Vasicek model

Tanaka, Katsuto; Xiao, Weilin; Yu, Jun - In: Econometrics : open access journal 8 (2020) 3/32, pp. 1-28

maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive … analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including … the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of …

Persistent link: https://www.econbiz.de/10012265682

Fixed-k inference for volatility

Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …

Persistent link: https://www.econbiz.de/10012795628

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

Persistent link: https://www.econbiz.de/10012886334

Regime-dependent nowcasting of the Austrian economy

Fortin, Ines; Hlouskova, Jaroslava - 2023

We nowcast and forecast Austrian economic activity, namely real gross domestic product (GDP), consumption and investment, which are available at a quarterly frequency. While nowcasting uses data up to (and including) the quarter to be predicted, forecasting uses only data up to the previous...

Persistent link: https://www.econbiz.de/10014432187

Seasonal adjustment of the Spanish sales daily data

Cuevas, Ángel; Ledo, Ramiro; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 12 (2021) 4, pp. 687-708

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

Persistent link: https://www.econbiz.de/10012694357

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020

This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...

Persistent link: https://www.econbiz.de/10012251074

The persistence of suicides in G20 countries between 1990 and 2017 : an SPSM approach to three generations of unit root tests

Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative economic research : Central and Eastern Europe 24 (2021) 2, pp. 153-173

Suicides represent an encompassing measure of psychological wellbeing, emotional stability as well as life satisfaction, and they have been recently identified by the World Health Organization (WHO) as a major global health concern. The G20 countries represent the powerhouse of global economic...

Persistent link: https://www.econbiz.de/10012666866

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return,...

Persistent link: https://www.econbiz.de/10012520916

Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368