Similar Search Results

Improving Portfolio Allocation Through Covariance Matrix Filtering

Golden, Daron - 2017

The sample covariance matrix is known to contain substantial statistical noise, making it inappropriate for use in financial decision making. Leading researchers have proposed various filtering methods that attempt to reduce the level of noise in the covariance matrix estimator. In most cases,...

Persistent link: https://www.econbiz.de/10012965654

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high …-frequency financial data, in particular: (i) the impact of overnight trading in the analysis of long-term trends, (ii) intraday … seasonality and detrending of the data and (ii) vulnerability of the analysis to day-to-day nonstationarity and regime shifts …

Persistent link: https://www.econbiz.de/10010257507

Black-Litterman in Continuous Time : The Case for Filtering

Davis, Mark - 2013

In this article, we extend the Black-Litterman approach to a continuous time setting. We model analyst views jointly with asset prices to estimate the unobservable factors driving asset returns. The key in our approach is that the filtering problem and the stochastic control problem are...

Persistent link: https://www.econbiz.de/10013082305

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Carvalho, Carlos M. - 2018

We introduce a simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of features to include when jointly predicting monthly stock and bond excess returns. Our approach builds on the Bayesian Dynamic Linear Models of West and...

Persistent link: https://www.econbiz.de/10012910552

Strategic Asset Allocation Considerations for German Pension Insurance Funds : Theoretical Analysis and Empirical Evidence - Applying Stochastic Time Series Simulations and Dynamic...

Hertrich, Christian - 2011

portfolio allocations for varying asset classes and investment strategies. The empirical methodology applied in our analysis …

Persistent link: https://www.econbiz.de/10013120648

Profitability of time series momentum

He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157

Persistent link: https://www.econbiz.de/10011377714

Quasi-likelihood estimation of a threshold diffusion process

Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484

Persistent link: https://www.econbiz.de/10011504631

Testing for threshold diffusion

Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227

Persistent link: https://www.econbiz.de/10011704178

Forecasting dirty tanker freight rate index by using stochastic differential equations

Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10012028815

Continuous time modelling based on an exact discrete time representation

Chambers, Marcus J.; MacCrorie, J. Roderick; Thornton, … - University of Essex / Department of Economics - 2017

Persistent link: https://www.econbiz.de/10013162724

1
2
3
4
5
6
7
8
9
10
Next
Last