Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios. In this paper, we present a generalised multi-factor model that incorporates heteroskedasticity and dependence in the idiosyncratic error terms. We apply this model to...

With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

In this paper we develop a class of applied probabilistic continuous time but discretized state space decompositions of the characterization of a multivariate generalized diffusion process. This decomposition is novel and, in particular, it allows one to construct families of mimicking classes...

We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function to a generalized Gaussian copula function. This...

The focus of this work involves a comparison of the performance of a covariance regression model (CovReg) and a vector heterogeneous autoregressive (VHAR) model for the development of a dynamic portfolio allocation framework in equity index strategies. The performance of each method is assessed...

We derive explicit solutions to the problem of completing a partially specified correlation matrix. Our results apply to several block structures for the unspecified entries that arise in insurance and risk management, where an insurance company with many lines of business is required to satisfy...