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Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching

Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2008

The asset allocation decision is often considered as a trade-off between maximizing the expected return of a portfolio and minimizing the portfolio risk. The riskiness is evaluated in terms of variance of the portfolio return, so that it is fundamental to consider correctly the variance of its...

Persistent link: https://www.econbiz.de/10005687250

On the relationship between the prices of oil and the precious metals : revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy economics 44 (2014), pp. 456-467

Persistent link: https://www.econbiz.de/10010457143

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011897499

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - 2018

realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …

Persistent link: https://www.econbiz.de/10011794277

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value …

Persistent link: https://www.econbiz.de/10013474092

L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29

tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …

Persistent link: https://www.econbiz.de/10014497339

Inflation uncertainty

Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 1903-1920

Persistent link: https://www.econbiz.de/10014520073

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10013168928

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10013040932

Can oil diversify away the unpriced risk of a portfolio?

Cifarelli, Giulio; Paladino, Giovanna - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 73-88

Persistent link: https://www.econbiz.de/10009507849