Showing 1 - 10 of 162
In this paper, we analyze the forecasting performance of several parametric extensions of the popular Dynamic Nelson-Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We...
Persistent link: https://www.econbiz.de/10014349394
We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...
Persistent link: https://www.econbiz.de/10011865707
It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...
Persistent link: https://www.econbiz.de/10011866468
We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...
Persistent link: https://www.econbiz.de/10013003499
In this paper we look into the interaction of Google's search queries and several aspects of international equity markets. Using a novel methodology for selecting words and a VAR modeling approach, we study whether the search queries of finance related words can have an impact on market...
Persistent link: https://www.econbiz.de/10013005655
We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well established term structure factor models,...
Persistent link: https://www.econbiz.de/10013077636
Dynamic factor models for the yield curve have been extensively applied to fit and forecast the yield curve. We propose a novel utilization of these models in bond portfolio optimization. Specifically, we derive closed-form expressions for the vector of expected bond returns and for its...
Persistent link: https://www.econbiz.de/10013036835
We present a semiparametric portfolio optimization method in which portfolio weights are parameterized as a non-linear function of firm characteristics. This approach generalizes the linear parametric portfolio policy of Brandt et al. (2009) and can be applied to high-dimensional problems at a...
Persistent link: https://www.econbiz.de/10013231520
Persistent link: https://www.econbiz.de/10012271404
Portfolio selection based on high dimensional covariance matrices is a key challenge in data-rich environments with the curse of dimensionality severely affecting most of the available covariance models. We challenge several multivariate Dynamic Conditional Correlation (DCC)-type and Stochastic...
Persistent link: https://www.econbiz.de/10012851733