Narrow search
Showing 1 - 10 of 19,458
Cover Image
Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …
Persistent link: https://www.econbiz.de/10013113663
Cover Image
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …
Persistent link: https://www.econbiz.de/10013149486
Cover Image
Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
Cover Image
Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10009743826
Cover Image
Genetic programming with syntactic restrictions applied to financial volatility forecasting
Zumbach, Gilles O.; Pictet, Olivier V.; Masutti, Oliver - In: Computational methods in decision-making, economics and …, (pp. 557-581). 2010
Persistent link: https://www.econbiz.de/10009153065
Cover Image
Bootstap Lr Tests of Sign and Amplitude Asymmetry
Fuertes, Ana-Maria; Coakley, Jerry - 2000
Using threshold autoregressive specifications, this paper extends the Enders and Granger (1998) framework for parametric tests of level asymmetry. In particular it develops bootstrap likelihood ratio statistics to test the symmetry null against sign and amplitude asymmetries or a combination of...
Persistent link: https://www.econbiz.de/10014160955
Cover Image
Discrete Fourier Transforms of Fractional Processes
Phillips, Peter C. B. - 2000
theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified …
Persistent link: https://www.econbiz.de/10014164678
Cover Image
Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
risky asset, and the solution converges to that of a continuous-time Heston stochastic volatility model (Kraft, 2005 …
Persistent link: https://www.econbiz.de/10012880259
Cover Image
Optimal Execution with Quadratic Variation Inventories
Carmona, Rene; Leal, Laura - 2021
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders. We use intra-day data from the Toronto Stock Exchange to provide empirical evidence of...
Persistent link: https://www.econbiz.de/10013230314
Cover Image
Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux …(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the …
Persistent link: https://www.econbiz.de/10003970462