Intra-Daily FX Optimal Portfolio Allocation [PDF]
We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint.
Erick, Rengifo +2 more
core
Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies [PDF]
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models.
Hammoudeh, S.M., McAleer, M.J., Yuan, Y.
core +1 more source
Hedging strategies among financial markets: the case of green and brown assets. [PDF]
Empir Econ, 2023 Raheem ID +3 more
europepmc +1 more source
Sensitivity analysis of volatility: a new tool for risk management [PDF]
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro +2 more
core
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models [PDF]
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability.
Francesco Violante +2 more
core
What Drives International Equity Correlations? Volatility or Market Direction? [PDF]
We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that
Abderrahim Taamouti +2 more
core
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
europepmc +1 more source
Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models [PDF]
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S ...
Jeroen VK Rombouts, Marno Verbeek
core
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
europepmc +1 more source