(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, April.
- Perez-Quiros, Gabriel & Timmermann, Allan, 2001.
"Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities,"
Journal of Econometrics, Elsevier, vol. 103(1-2), pages 259-306, July.
- Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.
- Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
- Pérez Quirós, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 58, European Central Bank.
- Perez-Quiros, Gabriel & Timmermann, Allan, 2000. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," LSE Research Online Documents on Economics 119098, London School of Economics and Political Science, LSE Library.
- West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993.
"A utility-based comparison of some models of exchange rate volatility,"
Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
- Dongchul Cho & Hali J. Edison & Kenneth D. West, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
- Michael W. Brandt, 1999. "Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach," Journal of Finance, American Finance Association, vol. 54(5), pages 1609-1645, October.
- Kandel, Shmuel & Stambaugh, Robert F, 1996.
"On the Predictability of Stock Returns: An Asset-Allocation Perspective,"
Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
- Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc.
- Patton, Andrew J, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series qt01q7j1s2, Department of Economics, UC San Diego.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
- Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003.
"A New Approach to Measuring Financial Contagion,"
The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000. "A New Approach to Measuring Financial Contagion," NBER Working Papers 7913, National Bureau of Economic Research, Inc.
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2001. "A new approach to measuring financial contagion," Proceedings 743, Federal Reserve Bank of Chicago.
- Yacine AÏT‐SAHALI & Michael W. Brandt, 2001.
"Variable Selection for Portfolio Choice,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
- Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(4), pages 465-487, December.
- Michael Rockinger & Eric Jondeau, 2001.
"Conditional Dependency of Financial Series: An Application of Copulas,"
Working Papers
hal-00601478, HAL.
- Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," HEC Research Papers Series 723, HEC Paris.
- Norman R. Swanson & Halbert White, 1997.
"A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks,"
The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
- Norman R. Swanson & Halbert White, 1995. "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Macroeconomics 9503004, University Library of Munich, Germany.
- Swanson, N.R. & White, H., 1995. "A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Papers 04-95-12, Pennsylvania State - Department of Economics.
- Miller, Douglas J. & Liu, Wei-han, 2002. "On the recovery of joint distributions from limited information," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 259-274, March.
- John Y. Campbell & Luis M. Viceira, 1999.
"Consumption and Portfolio Decisions when Expected Returns are Time Varying,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
- Weiss, Andrew A, 1996. "Estimating Time Series Models Using the Relevant Cost Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 539-560, Sept.-Oct.
- Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 205-216, June.
- Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
- Kofman, Paul & Koedijk, Kees & Campbell, Rachel, 2002. "Increased Correlation in Bear markets: A Downside Risk Perspective," CEPR Discussion Papers 3172, C.E.P.R. Discussion Papers.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
- Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
- Swanson, Norman R & White, Halbert, 1995. "A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 265-275, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrew J. Patton, 2004.
"On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
- Patton, Andrew J., 2002. "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics 24951, London School of Economics and Political Science, LSE Library.
- Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Asset allocation under multivariate regime switching,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
- Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
- Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
- Eric Jondeau & Michael Rockinger, 2006.
"Optimal Portfolio Allocation under Higher Moments,"
European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
- Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004.
"Forecasting economic and financial time-series with non-linear models,"
International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
- Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
- Marco Aiolfi & Carlo Ambrogio Favero, "undated".
"Model Uncertainty, Thick Modelling and the predictability of Stock Returns,"
Working Papers
221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Aiolfi, Marco, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010.
"1/N and long run optimal portfolios: results for mixed asset menus,"
Working Papers
2010-003, Federal Reserve Bank of St. Louis.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
- Daniel Andrei & Michael Hasler, 2020. "Dynamic Attention Behavior Under Return Predictability," Management Science, INFORMS, vol. 66(7), pages 2906-2928, July.
- Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019. "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 190-212.
- Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
- Massimo Guidolin & Giovanna Nicodano, 2009.
"Small caps in international equity portfolios: the effects of variance risk,"
Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
- Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
- Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005.
"Why stocks may disappoint,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
- Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
- Botshekan, Mahmoud & Lucas, André, 2017.
"Long-Term versus Short-Term Contingencies in Asset Allocation,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2277-2303, October.
- Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
- Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
- David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
- Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
- Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
More about this item
Keywords
stock returns; forecasting; density forecasting; normality; asymmetry; copulas.j.e.l. codes: g11; c32; c51.;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fmg:fmgdps:dp431. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: The FMG Administration (email available below). General contact details of provider: http://www.lse.ac.uk/fmg/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.