Autor(en): | Guhr, Thomas Schäfer, Rudi Schmitt, Thilo A. Wied, Dominik |
Titel: | Spatial dependence in stock returns - Local normalization and VaR forecasts |
Sprache (ISO): | en |
Zusammenfassung: | We analyze a recently proposed spatial autoregressive model for stock returns and compare it to a one-factor model and the sample covariance matrix. The influence of refinements to these covariance estimation methods is studied. We employ power mapping as a noise reduction technique for the correlations. Further, we address the empirically observed non-stationary behavior of stock returns. Local normalization strips the time series of changing trends and fluctuating volatilities. As an alternative method, we consider a GARCH fit. In the context of portfolio optimization, we find that the spatial model has the best match between the estimated and realized risk measures. |
URI: | http://hdl.handle.net/2003/30307 http://dx.doi.org/10.17877/DE290R-5391 |
Erscheinungsdatum: | 2013-05-07 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_1813_SFB823_Schmitt_Schäfer_Wied_Guhr.pdf | DNB | 300.19 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org