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Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Forecasting economic variables with nonlinear models

Teräsvirta, Timo (contributor) - 2005 - Rev. December 29, 2005

forecast accuracy in the case where the models generating the forecasts are nested are discussed. There is a numerical example … better forecast by a linear model with a unit root. Finally, some empirical studies that compare forecasts from linear and … nonlinear models are discussed. -- Forecast accuracy ; forecast comparison ; hidden Markov model ; neural network ; nonlinear …

Persistent link: https://www.econbiz.de/10002847459

Dynamic stochastic lot sizing with forecast evolution in rolling-horizon planning

Forel, Alexandre; Grunow, Martin - In: Production and operations management : the flagship … 32 (2023) 2, pp. 449-468

Persistent link: https://www.econbiz.de/10014266046

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

Socially Responsible Multiobjective Optimal Portfolios

Sahamkhadam, Maziar; Stephan, Andreas - 2022

This paper extends the socially responsible multiobjective problem to (i) estimating optimal portfolios via reward/risk maximization, (ii) including dependence structure between asset returns using vine copulas, and (iii) incorporating enhanced indexation utilizing cumulative zero-order...

Persistent link: https://www.econbiz.de/10014030772