Artikel
Continuous and jump betas: Implications for portfolio diversification
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics; ISSN: 2225-1146; Volume: 4; Year: 2016; Issue: 2; Pages: 1-15
Bezug (was)
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Optimization Techniques; Programming Models; Dynamic Analysis
systematic risk
jump diffusion
portfolio diversification
high-frequency data
Financial Econometrics
Portfolio Choice; Investment Decisions
Optimization Techniques; Programming Models; Dynamic Analysis
systematic risk
jump diffusion
portfolio diversification
high-frequency data
Beteiligte Personen und Organisationen
Alexeev, Vitali
Dungey, Mardi
Yao, Wenying
Basel: MDPI
Dungey, Mardi
Yao, Wenying
Basel: MDPI
Erschienen
Basel: MDPI
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:56 MESZ
Objekttyp
- Artikel
Beteiligte
- Alexeev, Vitali
- Dungey, Mardi
- Yao, Wenying
- Basel: MDPI
Entstanden
- Basel: MDPI
Ähnliche Objekte (12)
The univariate collapsing method for portfolio optimization
Finding starting-values for the estimation of vector STAR models
Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Maximum likelihood estimation of the I(2) model under linear restrictions
Risk management of interest rate derivative portfolios: A stochastic control approach
Volatility forecasting: Downside risk, jumps and leverage effect
Evolutionary sequential Monte Carlo samplers for change-point models
A fast, accurate method for value-at-risk and expected shortfall
A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
Market microstructure effects on firm default risk evaluation
Forecasting value-at-risk using high-frequency information
The univariate collapsing method for portfolio optimization
Finding starting-values for the estimation of vector STAR models
Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Maximum likelihood estimation of the I(2) model under linear restrictions
Risk management of interest rate derivative portfolios: A stochastic control approach
Volatility forecasting: Downside risk, jumps and leverage effect
Evolutionary sequential Monte Carlo samplers for change-point models
A fast, accurate method for value-at-risk and expected shortfall
A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
Market microstructure effects on firm default risk evaluation
Forecasting value-at-risk using high-frequency information
The univariate collapsing method for portfolio optimization
Finding starting-values for the estimation of vector STAR models
Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Maximum likelihood estimation of the I(2) model under linear restrictions
Risk management of interest rate derivative portfolios: A stochastic control approach
Volatility forecasting: Downside risk, jumps and leverage effect
Evolutionary sequential Monte Carlo samplers for change-point models
A fast, accurate method for value-at-risk and expected shortfall
A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
Market microstructure effects on firm default risk evaluation