Economic Value of Stock Return Models: Evidence from Optimal Portfolio的封面
书籍主题:

Economic Value of Stock Return Models: Evidence from Optimal Portfolio

LAP LAMBERT Academic Publishing (2016-06-07 )

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ISBN-13:

978-3-659-89832-7

ISBN-10:
3659898325
EAN:
9783659898327
书籍语言:
英文
作品简介:
Stock return predictability continues to attract an enormous amount of attention and yet the empirical evidence struggles to meet a general consensus. While a number of studies debate on the ability of economically meaningful variables such as dividend yield, term spread and consumption-wealth ratio to predict future stock returns, an important strand of the literature focuses on how to accurately incorporate the effect of stylized facts such as stochastic volatility and jumps on the data generating process of stock returns. However attempts have produced mixed results and mainly examined model specifications by using statistical measures. The economic advantage of using double-jump models remains largely unexplored. We find that, under both latent volatility and realized volatility measures, although jumps clearly affect the optimal weights, the pure diffusion model has better portfolio performance than jump-diffusion model, as stochastic volatility alone delivers the best portfolio performance. In addition, adding jumps in volatility yields more economic gains over the jump-diffusion model.
出版社 :
LAP LAMBERT Academic Publishing
网址:
https://www.lap-publishing.com/
由(作者):
Ye Zhou
页码 :
168
发表日期:
2016-06-07
现货:
备有现货
类别:
金钱,银行,证券交易
价格:
64.90 €
关键词:
Jump diffusion, Particle Filter, Realized volatility, stochastic volatility

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