Results 51 to 60 of about 881 (181)
The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification
The Manchester School, EarlyView.ABSTRACT We investigate the impact of changes in U.S. monetary policy on portfolio diversification. We build four different types of portfolios, including a U.S.‐only, a stock‐bond (60/40) portfolio, an international diversified stock portfolio, and an asset diversified portfolio.
Rong Huang +2 more
wiley +1 more source
MEASURING SYSTEMIC RISK OF CHINA'S LISTED BANKS [PDF]
Financial Studies, 2021 After the financial crisis in 2008, the world became more aware of the importance of the systemic risk. Within China’s financial system, commercial banks have a dominant position.
Ping ZHANG +3 more
doaj
Journal of Forecasting, Volume 45, Issue 6, Page 2905-2941, September 2026.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, Volume 45, Issue 5, Page 2186-2212, August 2026.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
, 2021 When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. Hence it is natural to extend from a univariate GARCH model to a multivariate GARCH model when examining portfolio ...
openaire +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, Volume 45, Issue 4, Page 1797-1828, July 2026.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Connectedness Analysis And Investment Strategy Between Stablecoins And International Stock Indices
Jurnal ManajemenThis research analyzes the dynamic connectedness between fiat-based stablecoins represented by USDC, USDP, and USDT, and gold-based stablecoins represented by DGX and GLC with indices international stocks represented by S&P500, STOXX50, Nikkei225 ...
Ika Maradjabessy, Zaafri Ananto Husodo
doaj +1 more source
How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad +4 more
wiley +1 more source