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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Spillovers and asset allocation
Hoang Lai Trung; Baur, Dirk G. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-31
There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...
Persistent link: https://www.econbiz.de/10012626370
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Mixed-Frequency Predictive Regressions with Parameter Learning
Leippold, Markus; Yang, Hanlin - 2023
different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …
Persistent link: https://www.econbiz.de/10014348997
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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
models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …
Persistent link: https://www.econbiz.de/10009714536
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10010310075
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Hedge ratios for short and leveraged ETFs
Schubert, Leo - In: Atlantic Review of Economics 1 (2011), pp. 1-33
return high leverage factors should not be used for hedging, due to the higher volatility and target-shortfall probability. …
Persistent link: https://www.econbiz.de/10010290046
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Measuring and managing liquidity risk in the Hungarian practice
Szűcs, Balázs Árpád; Váradi, Kata - In: Society and Economy 36 (2014) December, pp. 543-563
The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players...
Persistent link: https://www.econbiz.de/10011094517
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Measuring and managing liquidity risk in the Hungarian practice
Szűcs, Balázs Árpád; Váradi, Kata - Közgazdaságtudományi Kar, Budapesti Corvinus Egyetem - 2015
The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players...
Persistent link: https://www.econbiz.de/10011200221
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10010954935
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Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining
Madlener, Reinhard; Lang, Joachim - Institut für Future Energy Consumer Needs and Behavior … - 2010
The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio selection for power plants. We develop a model to estimate margining cashflows that is based on the clearing framework of the European Commodity Clearing AG (ECC), on stochastic...
Persistent link: https://www.econbiz.de/10008642305