Journal of Financial Econometrics
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* Dữ liệu chỉ mang tính chất tham khảo
Sắp xếp:
Are There Structural Breaks in Realized Volatility?
Journal of Financial Econometrics - Tập 6 Số 3 - Trang 326-360
Power and Bipower Variation with Stochastic Volatility and Jumps
Journal of Financial Econometrics - Tập 2 Số 1 - Trang 1-37 - 2004
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
Journal of Financial Econometrics - Tập 3 Số 4 - Trang 555-577
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.
Journal of Financial Econometrics - Tập 18 Số 2 - Trang 280-306 - 2020
A Simple Approximate Long-Memory Model of Realized Volatility
Journal of Financial Econometrics - Tập 7 Số 2 - Trang 174-196
Tổng số: 5
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