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This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...
Persistent link: https://www.econbiz.de/10013273511
, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …
Persistent link: https://www.econbiz.de/10012542685
Persistent link: https://www.econbiz.de/10009776452
individually. We present the conditional maximum likelihood estimation (MLE) method for fitting asset price processes to empirical … properties of the proposed model, its parameter estimation using the MLE method and least-squares technique, the evaluation of … estimation and evaluation methodologies. Computational results are compared with Monte Carlo estimates. …
Persistent link: https://www.econbiz.de/10014446758
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
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/10011256933
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/10004964452
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/10011378346
Persistent link: https://www.econbiz.de/10014429155
Persistent link: https://www.econbiz.de/10014432866