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The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Persistent link: https://www.econbiz.de/10010958793

Value-at-Risk and expected shortfall for rare events

Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008

-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The …We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures …, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte …

Persistent link: https://www.econbiz.de/10010958774

Value-at-Risk and Expected Shortfall for Rare Events

Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008

-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The …Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk … measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte …

Persistent link: https://www.econbiz.de/10005007630

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - Center for Financial Studies - 2003

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

Persistent link: https://www.econbiz.de/10010958618

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10005022456

Private equity returns and disclosure around the world

Walz, Uwe; Cumming, Douglas - Center for Financial Studies - 2004

We study the returns the venture capital and private equity investment from 221 venture capital and private equity funds that are part of 72 venture capital and private equity firms, 5040 entrepreneurial firms (3826 venture capital and 1214 private equity), and spanning 32 years (1971 2003) and...

Persistent link: https://www.econbiz.de/10010986361

Fiscal stimulus and the promise of future spending cuts: A comment

Wieland, Volker - Center for Financial Studies - 2009

Recent evaluations of the fiscal stimulus packages recently enacted in the United States and Europe such as Cogan, Cwik, Taylor and Wieland (2009) and Cwik and Wieland (2009) suggest that the GDP effects will be modest due to crowding-out of private consumption and investment. Corsetti, Meier...

Persistent link: https://www.econbiz.de/10010958642

On the dark side of the market: Identifying and analyzing hidden order placements

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10010958685

Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey

Entorf, Horst; Knoll, Christian; Sattarova, Liliya - Center for Financial Studies - 2011

The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating...

Persistent link: https://www.econbiz.de/10010958702

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010958747