Golosnoy, Vasyl and Gribisch, Bastian (2022). Modeling and forecasting realized portfolio weights. J. Bank Financ., 138. AMSTERDAM: ELSEVIER. ISSN 1872-6372
Full text not available from this repository.Abstract
We propose direct multiple time series models for predicting high dimensional vectors of observable realized global minimum variance portfolio (GMVP) weights computed based on high-frequency intraday returns. We apply Lasso regression techniques, develop a class of multiple AR(FI)MA models for realized GMVP weights, suggest suitable model restrictions, propose M-type estimators and derive the statistical properties of these estimators. In the empirical analysis for portfolios of 225 stocks from the S&P 500 we find that our direct models effectively minimize either statistical or economic forecasting losses both in- and out-of-sample as compared to relevant alternative approaches. (c) 2022 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-665030 | ||||||||||||
DOI: | 10.1016/j.jbankfin.2022.106404 | ||||||||||||
Journal or Publication Title: | J. Bank Financ. | ||||||||||||
Volume: | 138 | ||||||||||||
Date: | 2022 | ||||||||||||
Publisher: | ELSEVIER | ||||||||||||
Place of Publication: | AMSTERDAM | ||||||||||||
ISSN: | 1872-6372 | ||||||||||||
Language: | English | ||||||||||||
Faculty: | Unspecified | ||||||||||||
Divisions: | Unspecified | ||||||||||||
Subjects: | no entry | ||||||||||||
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URI: | http://kups.ub.uni-koeln.de/id/eprint/66503 |
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