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Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable
Martínez Patiño, Manuel Andrés; Ariza Garzón, … - In: Revista de Métodos Cuantitativos para la Economía y … 32 (2021), pp. 66-82
evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The … methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results … persistence and the results of its inference were compared with independently optimized portfolios. A better risk …
Persistent link: https://www.econbiz.de/10014494525
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Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable
Martínez Patiño, Manuel Andrés; Ariza Garzón, … - In: Revista de métodos cuantitativos para la economía y … 32 (2021), pp. 66-82
evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The … methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results … persistence and the results of its inference were compared with independently optimized portfolios. A better risk …
Persistent link: https://www.econbiz.de/10012796057
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 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/10010318770
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010281594
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang Karl; Nasekin, Sergey; Chuen, David … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010785498
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The Merit of High-Frequency Data in Portfolio Allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010587713
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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010617848
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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
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Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market and Equilibrium Exchange Rate
Derviz, Alexis - In: Bulletin of the Czech Econometric Society 7 (2000)
The paper introduces a model of bid/ask price formation in an imperfectly centralized forex dealership market in continuous time. The dealers have costly access to best quotes while interpreting signals from the joint dealer-customer order flow and deciding upon their own price quotes and...
Persistent link: https://www.econbiz.de/10008540584
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Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - 2009
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10010325722