用COGARCH(p,q)模型测量风险

ERN: Stock Market Risk (Topic) Pub Date : 2016-10-15 DOI:10.2139/ssrn.2852858

F. Bianchi, L. Mercuri, Edit Rroji

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引用次数: 0

摘要

本文介绍了金融时间序列的多元独立分量COGARCH(p,q)模型。作为不同静态资产配置问题的解，我们确定了最优的投资组合权重。对两个数据集进行了实证分析。前者由追踪富时100指数表现的154家欧洲对冲基金组成，后者则包含富时100指数的成分股。从样本外的角度考察了不同策略的绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Measuring Risk with COGARCH(p,q) Models

In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154 European hedge funds tracking the performance of the FTSE100 Index while the second contains the members of FTSE100. The performances of different strategies are investigated from an out-of-sample perspective.

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ERN: Stock Market Risk (Topic)

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