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Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional … systems by means of a two-step strategy. The finite sample properties of the GMM estimator of the combination weights are … combination ; GMM ; portfolio optimization …

Persistent link: https://www.econbiz.de/10003796201

Combining Multivariate Volatility Forecasts : An Economic-Based Approach

Caldeira, João F. - 2016

We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...

Persistent link: https://www.econbiz.de/10013003499

Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - 2022

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...

Persistent link: https://www.econbiz.de/10013404229

Exponential high-frequency-based-volatility (EHEAVY) models

Xu, Yongdeng - 2022

This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It...

Persistent link: https://www.econbiz.de/10013177995

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Liao, Yin - 2012

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...

Persistent link: https://www.econbiz.de/10013105658

GARCH Family Models vs EWMA : which is the best model to forecast volatility of the Moroccan stock exchange market?

Jebari, Ouael El; Hakmaoui, Abdelati - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 237-249

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk,...

Persistent link: https://www.econbiz.de/10012023967

Model averaging in risk management with an application to futures markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305

Persistent link: https://www.econbiz.de/10003839329

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Active portfolio management for the emerging and frontier markets : the use of multivariate time series forecasts

Tri Hoang - In: Cogent economics & finance 10 (2022) 1, pp. 1-27

Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...

Persistent link: https://www.econbiz.de/10013391097

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets

Deng, Qi; Zhou, Zhong-Guo - 2023

We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...

Persistent link: https://www.econbiz.de/10014349884