Showing 1 - 10 of 1,597
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% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …
Persistent link: https://www.econbiz.de/10013037072
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Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264
It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...
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This paper develops a new Bayesian algorithm to efficiently estimate non-linear/non-Gaussian state space models with abruptly changing parameters. Within the Particle Gibbs framework developed by Andrieu et al. (2010), the proposed algorithm effectively combines two ideas: ancestor sampling and...
Persistent link: https://www.econbiz.de/10013003102
dynamics in order to cope with the increasing number of high-dimensional applications. Simulation results show that the …
Persistent link: https://www.econbiz.de/10012954906
The COVID-19 pandemic is characterized by a recurring sequence of peaks and troughs. This article proposes a regime-switching unobserved components (UC) approach to model the trend of COVID-19 infections as a function of this ebb and flow pattern. Estimated regime probabilities indicate the...
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