Asset Allocation With a High Dimensional Latent Factor Stochastic Volatility Model

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Subfields: Finance

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Sparse Bayesian time-varying covariance estimation in many dimensions (2016, background): “…include Harvey et al. (1994), Pitt and Shephard (1999), and Aguilar and West (2000) which were later picked up and extended by e.g. Philipov and Glickman (2006), Chib et al. (2006), Han (2006), Lopes and Carvalho (2007), Nakajima and West (2013), Zhou et al. (2014), and Ishihara and Omori (2017).”
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “, the one that renders investors indi¤erent between two competing strategies (Han, 2006; Della Corte et al., 2009) is computed.”
The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011, methodology): “According to Han (2006), we assume that transaction costs equal a fixed proportion tc of the value traded in each asset, cost = tc wt−wt−1 1 + rt1 + rd;t : ð16Þ Due to the lack of reliable estimates of suitable transaction costs, we consider the break-even transaction cost.”
An Economic Evaluation of Empirical Exchange Rate Models (2009, unknown): “For more details see also Chib, Nardari and Shephard (2002) and Han (2006).”