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| Full text | |
| Author(s): |
Total Authors: 4
|
| Affiliation: | [1] Sao Paulo Sch Econ, FGV, BR-01332000 Sao Paulo - Brazil
[2] Univ Estadual Campinas, Dept Stat, BR-13083859 Campinas, SP - Brazil
[3] Univ Carlos III Madrid, Santander Big Data Inst UC3M, Getafe 28903 - Spain
[4] Univ Fed Santa Catarina, Dept Econ, BR-88040970 Florianopolis, SC - Brazil
Total Affiliations: 4
|
| Document type: | Journal article |
| Source: | ECONOMETRICS; v. 7, n. 2 JUN 2019. |
| Web of Science Citations: | 1 |
| Abstract | |
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict one-step-ahead conditional covariance matrices. These matrices are used as inputs to obtain out-of-sample minimum variance portfolios based on stocks belonging to the S\&P500 index from 2000 to 2017 and sub-periods. The analysis is done through several metrics, including standard deviation, turnover, net average return, information ratio and Sortino's ratio. We find that no method is the best in all scenarios and the performance depends on the criterion, the period of analysis and the rebalancing strategy. (AU) | |
| FAPESP's process: | 16/18599-4 - Modeling and forecasting volatility of high dimensional financial series |
| Grantee: | Carlos Cesar Trucios Maza |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |
| FAPESP's process: | 18/03012-3 - Robust dynamic dimension reduction techniques for volatilities |
| Grantee: | Carlos Cesar Trucios Maza |
| Support Opportunities: | Scholarships abroad - Research Internship - Post-doctor |
| FAPESP's process: | 13/00506-1 - Time series, wavelets and functional data analysis |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 18/04654-9 - Time series, wavelets and high dimensional data |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |