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Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...

Persistent link: https://www.econbiz.de/10009714536

Timing Excess Returns : A Cross-Universe Approach to Alpha

Martin, Fabio; Rohloff, Marc; Vogt, Alexander - 2022

This paper presents a model that uses time series momentum in order to construct strategies that systematically …

Persistent link: https://www.econbiz.de/10013403631

Frequency-dependent higher moment risks

Baruník, Jozef; Kurka, Josef - 2021

short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term …

Persistent link: https://www.econbiz.de/10012496742

Boundaries of Time Series Momentum - Equity Returns Over the Business Cycle

Suominen, Matti - 2021

equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes … sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To …, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time …

Persistent link: https://www.econbiz.de/10013245419

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

time-varying conditional variances and covariances among the model disturbances. We derive exact bounds on the null … increases along both the time and cross-sectional dimensions. …

Persistent link: https://www.econbiz.de/10009746573

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Spectral Factor Models

Bandi, Federico M. - 2020

We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across frequencies. Frequency-specific systematic risk is...

Persistent link: https://www.econbiz.de/10012851025

Stock Returns Declustering Under Time Dependent Hölder Exponent

Bianchi, Sergio - 2011

Two of the most important stylized facts well-known in finance relate to the non-Gaussian distribution and to the volatility clustering of stock returns. In this paper, we show that a new class of stochastic processes – called Multifractional Processes with Random Exponent (MPRE) – can...

Persistent link: https://www.econbiz.de/10013122333

Maximize Market Timing Returns : Implementing Volatility-Weighted Bets

Patev, Plamen - 2019

Market timing is preferred path to alpha because it is very simple to implement even by individual investors. In this paper we apply the Hallerbach (2014) methodology to emerging markets from Asia and Eastern Europe. We find that by using volatility-weighted bets we improve significantly the...

Persistent link: https://www.econbiz.de/10012891990

Momentum with Volatility Timing

Malitskaia, Yulia - 2019

applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the … in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series …

Persistent link: https://www.econbiz.de/10012866947