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The role of macro-finance factors in predicting stock market volatility : a latent threshold dynamic model

Maheu, John M.; Zamenjani, Azam Shamsi - In: Journal of empirical finance 82 (2025), pp. 1-30

Persistent link: https://www.econbiz.de/10015432888

A dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Modeling and forecasting realized covariance matrices with accounting for leverage

Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139

Persistent link: https://www.econbiz.de/10012038156

Heterogeneous beliefs and aggregate market volatility revisited : new evidence from China

Wang, Yudong; Diao, Xundi; Pan, Zhiyuan; Wu, Chongfeng - In: Pacific-Basin finance journal 55 (2019), pp. 127-141

Persistent link: https://www.econbiz.de/10012169519

Machine learning portfolio allocation

Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … provides substantial improvements over the buy-and-hold in utility, risk-adjusted returns, and maximum drawdowns. This paper …

Persistent link: https://www.econbiz.de/10014433682