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Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435

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

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

return predictors, including tail risk. The predictability results are robust to out-of-sample tests …

Persistent link: https://www.econbiz.de/10011810905

Predictability and the cross-section of expected returns : a challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...

Persistent link: https://www.econbiz.de/10012271368

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

The Role of a Latent Value-Relevant Measure in Tracking and Predicting Stock Returns : A FAVAR Approach

Awwal, Faisal M. - 2020

This paper attempts to estimate and study the role of 'other information', as posited in the residual income valuation model of Ohlson (1995), for tracking and predicting future returns of the S&P 500. 'Other information' is an unobserved variable and defined as a summary of value-relevant...

Persistent link: https://www.econbiz.de/10012830124

The Value of Multivariate Model Sophistication : An Application to Pricing Dow Jones Industrial Average Options

Rombouts, J. V. K. - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10013107500

Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - 2018

expectations equilibria, we argue that this carries over to the finite time “strict local martingale”-approach to bubbles. Our …At odds with the common “rational expectations” framework for bubbles, economists like Hyman Minsky, Charles … essential drivers for bubble phenomena and financial crises. Following this understanding that asset price bubbles are generated …

Persistent link: https://www.econbiz.de/10011900246

DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation

Xu, Yongdeng - 2019

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...

Persistent link: https://www.econbiz.de/10012009351

Performance Evaluation with Latent Factors

Song, Yang - 2018

% per year. We also find that mutual fund flows become less responsive to returns due to the size, value, and momentum …

Persistent link: https://www.econbiz.de/10012914460