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Modeling and Forecasting Realized Portfolio Weights
16 references·0 citing·51 second hopsampled
Modeling and Forecasting Realized Portfolio Weights (2020)Modeling and Forecasting Realized Portfol…Dynamic Equicorrelation (2012)Dynamic EquicorrelationVolatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Parametric Portfolio Policies…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…On estimating the expected return on the market (1980)On estimating the expected re…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)A multiple indicators model for volatility using intra-daily data (2005)The Cross-Section of Expected Stock Returns (1992)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)60 Years of portfolio optimization: Practical challenges and current trends (2013)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)The Determinants of Stock and Bond Return Comovements (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 2009

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
464 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
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