Essays about: "Multivariate Volatility Models"

Showing result 6 - 10 of 17 essays containing the words Multivariate Volatility Models.

  1. 6. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE

  3. 7. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Keywords : Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Abstract : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. READ MORE

  4. 8. Can Bitcoin, and other cryptocurrencies, be modeled effectively with a Markov-Switching approach?

    University essay from KTH/Matematisk statistik

    Author : Thomas Maupin; [2019]
    Keywords : ;

    Abstract : This research is an attempt at deepening the understanding of hyped cryptocurrencies. A deductive nature is used where we attempt to estimate the linear dependencies of cryptocurrencies with four different time series models. READ MORE

  5. 9. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data

    University essay from KTH/Matematisk statistik

    Author : Sara Holmsäter; Emelie Malmberg; [2016]
    Keywords : Multivariate Expected Shortfall; Component Expected Shortfall;

    Abstract : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. READ MORE

  6. 10. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Norell; Eric Dove; [2016]
    Keywords : Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Abstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE