Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Ingmar Nolte"'
Publikováno v:
Journal of Time Series Analysis.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c07cab514509a58bd7fa109fc9567194
https://doi.org/10.1111/jtsa.12693
https://doi.org/10.1111/jtsa.12693
It is well documented that since at least the 1970s investment-cash flow (I-CF) sensitivity has been decreasing over time to disappear almost completely by the late 2000s. Based on a neoclassical investment model with costly external financing, we sh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e78793fce67ea972c062949f4842e3e
https://doi.org/10.1017/S0022109023000418
https://doi.org/10.1017/S0022109023000418
Factor momentum has formed the basis of factor timing strategies. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8b4ce588f48780b5f56a76195b2a5900
https://eprints.lancs.ac.uk/id/eprint/189694/
https://eprints.lancs.ac.uk/id/eprint/189694/
Publikováno v:
Journal of Financial Econometrics. 21:106-144
We investigate price duration variance estimators that have long been neglected in the literature. In particular, we consider simple-to-construct non-parametric duration estimators, and parametric price duration estimators using autoregressive condit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a0e8530cef76a8cbf0387cfb4a64e449
https://doi.org/10.1093/jjfinec/nbab006
https://doi.org/10.1093/jjfinec/nbab006
This paper introduces a novel class of volatility forecasting models that incorporate market realized (co)variances and semi(co)variances within the framework of a heterogeneous autoregressive (HAR) model. Our empirical analysis shows statistically
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc682b7e7a37920cf92aee49e892227a
This paper shows that generalizing the heterogeneous autoregressive model (HAR) with realized (co)variances and semi-(co)variances from the index leads to more accurate volatility forecasts. To circumvent the effects of the market microstructure nois
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac8e13166a7e1aadafe117b21169db52
https://eprints.lancs.ac.uk/id/eprint/170334/
https://eprints.lancs.ac.uk/id/eprint/170334/
Publikováno v:
European Financial Management. 26:1107-1146
We investigate appropriate forecasting models to estimate portfolio risk for timely managing the investment exposure of dynamic tail risk protection strategies. Specifically, we consider risk targeting and dynamic proportion portfolio insurance (DPPI
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c7daf01c496821dfe335b0a0bc57cbf
https://doi.org/10.1111/eufm.12256
https://doi.org/10.1111/eufm.12256
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9270d046abc6e4178118c40d91958aa
https://doi.org/10.2139/ssrn.4017974
https://doi.org/10.2139/ssrn.4017974
Publikováno v:
Li, Y, Nolte, I, Vasios, M, Voev, V & Xu, Q 2022, ' Weighted Least Squares Realized Covariation Estimation ', Journal of Banking & Finance . https://doi.org/10.1016/j.jbankfin.2022.106420
We introduce a novel weighted least squares approach to estimate daily realized covariation and microstructure noise variance using high-frequency data. We provide an asymptotic theory and conduct a comprehensive Monte Carlo simulation to demonstrate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::341927f0d31d2ed63d9aa3febf82554e
https://doi.org/10.2139/ssrn.4011269
https://doi.org/10.2139/ssrn.4011269
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8db2241a2b72c978854d699f726e7983
https://doi.org/10.2139/ssrn.4011298
https://doi.org/10.2139/ssrn.4011298