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Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage

Leung, Tim - 2019

involves a series of statistical tests, including the Johansen cointegration test and Engle-Granger two-step approach. Among …

Persistent link: https://www.econbiz.de/10012898416

On the Persistence of Cointegration in Pairs Trading

Clegg, Matthew - 2014

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

Persistent link: https://www.econbiz.de/10013048017

Stock Price Co-Movement and the Foundations of Pairs Trading

Farago, Adam - 2018

stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that … the theoretical Sharpe ratios are "too large," this suggests that either (i) cointegration does not exist pairwise among … is little evidence of cointegration, favoring the first explanation …

Persistent link: https://www.econbiz.de/10012928750

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at …

Persistent link: https://www.econbiz.de/10014495264

Optimal Hedging with the Cointegrated Vector Autoregressive Model

Gatarek, Lukasz T. - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10013045676

Risk Everywhere : Modeling and Managing Volatility

Bollerslev, Tim - 2017

Based on a unique high-frequency dataset for more than fifty commodities, currencies, equity indices, and fixed income instruments spanning more than two decades, we document strong similarities in realized volatilities patterns across assets and asset classes. Exploiting these similarities...

Persistent link: https://www.econbiz.de/10012970195

Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Flint, Emlyn James - 2017

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

Persistent link: https://www.econbiz.de/10012952837

Dynamic Portfolio Management Strategies : A Framework for Historical Analysis

Seymour, Anthony - 2018

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...

Persistent link: https://www.econbiz.de/10012914668

Modeling and Forecasting Macroeconomic Downside Risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular trends and cyclical changes of the predictive density of GDP growth, we find an accelerating decline in the skewness of the conditional distributions, with significant,...

Persistent link: https://www.econbiz.de/10013226483

Optimal Portfolio Allocation Under Higher Moments

Jondeau, Eric - 2010

We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain moments and to compute numerically the optimal portfolio allocation. A decisive advantage of this approach is that it remains operational...

Persistent link: https://www.econbiz.de/10013135029