Journal of Financial Econometrics
1479-8409
1479-8417
Anh Quốc
Cơ quản chủ quản: OXFORD UNIV PRESS , Oxford University Press
Lĩnh vực:
Economics and EconometricsFinance
Phân tích ảnh hưởng
Thông tin về tạp chí
The Journal's scope encompasses the themes that animate the field today. Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus. More specifically, the scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling, transaction data, and microstructure of financial markets. Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest.
Các bài báo tiêu biểu
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
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Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach* Abstract Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in the sense that it only adds cryptocurrencies in tradable amounts depending on the intended investment amount. The returns greatly increase compared to portfolios consisting only of traditional assets. We show that including cryptocurrencies in a portfolio can indeed improve its risk–return trade-off.
Tập 18 Số 2 - Trang 280-306 - 2020