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On the economic determinants of optimal stock-bond portfolios: International evidence

Conrad, Christian; Stürmer, Karin - 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …

Persistent link: https://www.econbiz.de/10011853171

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Persistent link: https://www.econbiz.de/10011745369

FUZZY LOGIC APPROACH TO IDENTIFICATION AND FORECASTING OF FINANCIAL TIME SERIES USING ELLIOTT WAVE THEORY

Matviychuk, Andriy - In: Fuzzy Economic Review XI (2006) 2, pp. 51-68

There are developed the approach and the model of identification and forecasting of financial indexes using methods of fuzzy logic theory taking into account a number of specific rules of price curve development from Elliott wave theory. The carried out analysis of forecasting results on real...

Persistent link: https://www.econbiz.de/10004992711

Theta Model Forecasts for Financial Time Series: A Case Study in the S&P500

Nikolopoulos, Konstantinos; Thomakos, Dimitrios; … - Department of Economics, University of Peloponnese - 2009

The Theta model created a lot of interest in academic circles due to its surprisingly good performance in the M3 forecasting competition. However, this interest was not followed up by other studies, with the exception of Hyndman and Billah in 2003. In addition, the Theta model performance has...

Persistent link: https://www.econbiz.de/10005636101

A mathematical proof of the existence of trends in financial time series

Fliess, Michel; Join, Cédric - HAL - 2009

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds):...

Persistent link: https://www.econbiz.de/10008792433

Applications in computational finance with a focus on approximation of financial time series by neurocomputing

Spreckelsen, Christian von - 2014

Persistent link: https://www.econbiz.de/10010511665

Dilated convolutional neural networks for time series forecasting

Borovykh, Anastasia; Bohte, Sander; Oosterlee, Cornelis … - In: The journal of computational finance 22 (2018/2019) 4, pp. 73-101

Persistent link: https://www.econbiz.de/10012042219

Modelling of speculative bubbles and forecasting of market crashes

Gerlach, Jan-Christian - 2021

Persistent link: https://www.econbiz.de/10012510251

Improving inference and forecasting in VAR models using cross-sectional information

Prüser, Jan; Blagov, Boris - 2022

shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …

Persistent link: https://www.econbiz.de/10013366009

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

Persistent link: https://www.econbiz.de/10010491375