☆ 4.5 Article

Stock profiling using time-frequency-varying systematic risk measure

FINANCIAL INNOVATION (2023)

Related references

Note: Only part of the references are listed.

Article Business

Forecasting Performance of Different Betas: Mexican Stocks before and during the COVID-19 Pandemic

Francisco Lopez Herrera et al.

Summary: This study compares the forecasting performance of a constant beta and two time-varying beta process specifications. The results show that autoregressive and random walk betas perform well before and during the COVID-19 pandemic respectively. The constant beta specification does not dominate the time-varying beta models in the Diebold-Mariano test. The study highlights the importance of considering the beta specification type when forecasting based on capital asset pricing or market models, particularly during crises.

EMERGING MARKETS FINANCE AND TRADE (2022)

Add to Collection

Article Business, Finance

Time-frequency return co-movement among asset classes around the COVID-19 outbreak: portfolio implications

Seyed Alireza Athari et al.

Summary: This study explores the time-frequency return connectedness of the four most relevant asset classes during the COVID-19 crisis. The findings indicate that the interdependence between the selected asset classes has intensified and the lack of hedging opportunities is observed. The results also reveal a significant lead-lag relationship between time series at medium and low frequencies, and the directional connectedness among asset classes is sensitive to frequencies.

JOURNAL OF ECONOMICS AND FINANCE (2022)

Add to Collection

Article Business, Finance

How does Covid-19 affect global equity markets?

Eddie C. M. Hui et al.

Summary: This study examines the impact of the Covid-19 outbreak on global equity markets using various statistical methods. The results show a significant negative effect on stock index returns, with European countries being more affected than East Asian economies. The findings have important implications for policymakers and investors.

FINANCIAL INNOVATION (2022)

Add to Collection

Article Economics

Covid-19's effect on the alpha and beta of a US stock Exchange Traded Fund

Kang Hua Cao et al.

Summary: This paper examines the impact of Covid-19 on the alpha and beta of a US stock exchange traded fund. It uses the efficient market hypothesis and the J-test of non-nested hypotheses to identify a reasonable choice of Covid-19 data for estimating CAPM regressions. The study finds that the rising unanticipated severity of Covid-19 significantly reduces the alphas and betas of mid-cap and small-cap ETFs, but has no significant effect on large-cap and sector & speciality ETFs. Therefore, retail investors should avoid market timing or panic selling, especially with the potential development of successful vaccinations in the near future.

APPLIED ECONOMICS LETTERS (2022)

Add to Collection

Article Business, Finance

Multi-scale inter-temporal capital asset pricing model

Ryuta Sakemoto

Summary: This study investigates the relationship between expected returns on portfolios and the covariance of the market at different timescales using the multi-scale inter-temporal capital asset pricing model (ICAPM). The study finds that this relationship changes across timescales, with a negative risk-return relation observed at a weekly frequency and a strong positive relation observed at a monthly frequency. The results remain robust after controlling for macroeconomic variables, market implied volatility, and test portfolios.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2022)

Add to Collection

Article Operations Research & Management Science

Asset allocation: new evidence through network approaches

Gian Paolo Clemente et al.

Summary: The paper explores the role of network structure in financial markets to enhance portfolio selection, uncovering that optimal portfolios obtained through a network-based approach mainly consist of peripheral assets with a higher performance-risk trade-off compared to traditional methods. The methodology also offers a graphical visualization of the selected portfolio directly on the network layout, aiding in understanding the optimal strategy.

ANNALS OF OPERATIONS RESEARCH (2021)

Add to Collection

Article Computer Science, Artificial Intelligence

Bankruptcy prediction for SMEs using transactional data and two-stage multiobjective feature selection

Gang Kou et al.

Summary: A bankruptcy prediction model for SMEs using transactional data and payment network-based variables is proposed in this study. A two-stage multiobjective feature-selection method is used to optimize the model classification performance and reduce the number of features. The importance of transactional data and payment network-based variables for bankruptcy prediction is confirmed through feature importance evaluation.

DECISION SUPPORT SYSTEMS (2021)

Add to Collection

Article Business, Finance

Fintech investments in European banks: a hybrid IT2 fuzzy multidimensional decision-making approach

Gang Kou et al.

Summary: This study evaluates Fintech-based investments of European banking services and identifies payment and money transferring systems as the most important investment alternatives to improve financial performance and attract customer attention.

FINANCIAL INNOVATION (2021)

Add to Collection

Article Business, Finance

A wavelet approach of investing behaviors and their effects on risk exposures

Roman Mestre

Summary: The study developed a new multi-Betas model to analyze short and long exposures to different sources of risk, showing that the impact of oil and gold on stocks varies depending on different investor behavior patterns.

FINANCIAL INNOVATION (2021)

Add to Collection

Article Business, Finance

Neural Network Predictive Modeling on Dynamic Portfolio Management-A Simulation-Based Portfolio Optimization Approach

Jiayang Yu et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2020)

Add to Collection

Article Business, Finance

Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets

Antonios K. Alexandridis et al.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2020)

Add to Collection

Article Business, Finance

Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis

Khamis Hamed Al-Yahyaee et al.

PACIFIC-BASIN FINANCE JOURNAL (2020)

Add to Collection

Article Social Sciences, Interdisciplinary

The impact of COVID-19 on stock markets

Qing He et al.

ECONOMIC AND POLITICAL STUDIES-EPS (2020)

Add to Collection

Article Business, Finance

Financial markets under the global pandemic of COVID-19

Dayong Zhang et al.

FINANCE RESEARCH LETTERS (2020)

Add to Collection

Article Business, Finance

Modeling and forecasting time series of precious metals: a new approach to multifractal data

Emrah Oral et al.

FINANCIAL INNOVATION (2019)

Add to Collection

Article Business, Finance

Hierarchical Clustering-Based Asset Allocation

Thomas Raffinot

JOURNAL OF PORTFOLIO MANAGEMENT (2018)

Add to Collection

Article Economics

The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors

Bruce D. McNevin et al.

ECONOMIC MODELLING (2018)

Add to Collection

Article Multidisciplinary Sciences

Dynamic Portfolio Strategy Using Clustering Approach

Fei Ren et al.

PLOS ONE (2017)

Add to Collection

Article Business, Finance

On the time scale behavior of equity-commodity links: Implications for portfolio management

Stelios Bekiros et al.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2016)

Add to Collection

Article Business, Finance

Financial Network Systemic Risk Contributions

Nikolaus Hautsch et al.

REVIEW OF FINANCE (2015)

Add to Collection

Article Computer Science, Information Systems

Evaluation of clustering algorithms for financial risk analysis using MCDM methods

Gang Kou et al.

INFORMATION SCIENCES (2014)

Add to Collection

Article Economics

THE CONTINUOUS WAVELET TRANSFORM: MOVING BEYOND UNI- AND BIVARIATE ANALYSIS

Luis Aguiar-Conraria et al.

JOURNAL OF ECONOMIC SURVEYS (2014)

Add to Collection

Article Business, Finance

The multiscale causal dynamics of foreign exchange markets

Stelios Bekiros et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2013)

Add to Collection

Article Economics

Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha et al.

ENERGY ECONOMICS (2012)

Add to Collection

Article Business, Finance

International comovement of stock market returns: A wavelet analysis

Antonio Rua et al.

JOURNAL OF EMPIRICAL FINANCE (2009)

Add to Collection

Article Business, Finance

Multiscale systematic risk

R Gençay et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2005)

Add to Collection

© Peeref 2019-2024. All rights reserved.