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On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters : 1. Stratanovich – Kalman – Bucy Filters for Gaussian Linear Investment Returns Distribution and 2. Particle Filters for Non-Gaussian Non-Linear Investment Returns Distribution

Ledenyov, Dimitri - 2015

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

Persistent link: https://www.econbiz.de/10013025088

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

Persistent link: https://www.econbiz.de/10013242339

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435

Time-frequency quantile dependence between Bitcoin and global equity markets

Maghyereh, Aktham I.; Abdoh, Hussein - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821410

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Persistent link: https://www.econbiz.de/10010499593

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - In: Energy economics 51 (2015), pp. 31-44

Persistent link: https://www.econbiz.de/10011564203

Equity portfolio diversification : how many stocks are enough? : evidence from India

Raju, Rajan; Agarwalla, Sobhesh Kumar - 2021

Persistent link: https://www.econbiz.de/10012793193

Short-run and long-run dynamic linkages between Indian and US stock markets

Goyal, Shilpa; Bansal, Anand - In: International journal of Indian culture and business … 19 (2019) 3, pp. 319-338

Persistent link: https://www.econbiz.de/10012145962

Fractional Differencing in Discrete Time

Elder, John; Elliott, Robert J.; Miao, Hong - 2018

This paper consists of two parts, a theoretical followed by an empirical contribution. We first give a new framework for fractional differencing in discrete time and show how the definition of fractional differencing that is commonly employed in empirical financial applications arises as a...

Persistent link: https://www.econbiz.de/10014179505