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Arithmetic and Continuous Return Mean-Variance Efficient Frontiers

Ferguson, Robert - 2019

The arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous...

Persistent link: https://www.econbiz.de/10012901309

Momentum and Reversion in Risk Neutral Martingale Probabilities

Madan, Dilip B. - 2014

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … five days at a time. Properties of the estimated processes are described via an analysis of return quantiles, momentum … functions that measure the response of tail probabilities to such moves. Momentum and reversion are also addressed via the …

Persistent link: https://www.econbiz.de/10013064149

A Collection on the Versatility and Predictive Power of Survey Expectations Data

Guzman, Giselle - 2014

that the results are robust to the inclusion of information pertaining to the macroeconomic environment and momentum. The … investor education, understanding asset bubbles, policy makers, financial services marketing, investment management, portfolio …

Persistent link: https://www.econbiz.de/10013055949

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility

Golosnoy, Vasyl - 2011

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Persistent link: https://www.econbiz.de/10013133422

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

Persistent link: https://www.econbiz.de/10013128856

Can the variance after-effect distort stock returns?

Berrada, Tony - 2021

Variance after-effect is a perceptual bias in the dynamic assessment of variance. Experimental evidence shows that perceived variance is decreased after prolonged exposure to high variance and increased after exposure to low variance. We introduce this effect in an otherwise standard financial...

Persistent link: https://www.econbiz.de/10012487731

Investor Sentiment, Profitable Trading Strategies, and Short Sale Constraints

Bulsiewicz, James - 2015

I investigate whether the relation between investor sentiment and profitable trading strategies is due to short sale constraints. I find that the average security in these strategies is not hard-to-short. Furthermore, the short leg does not appear to be harder to short or more overvalued than...

Persistent link: https://www.econbiz.de/10013026746