Combining multivariate volatility forecasts in portfolio optimization
| Thesis title in Czech: | Kombinování predikcí mnohorozměrné volatility v úloze optimalizace portfolia |
|---|---|
| Thesis title in English: | Combining multivariate volatility forecasts in portfolio optimization |
| Key words: | zložená maximálna vierohodnosť|MGARCH|optimálne portfólio|kombinácia predikcii|časové rady |
| English key words: | composite maximum likelihood|MGARCH|optimal portfolio|prediction combination|time series |
| Academic year of topic announcement: | 2020/2021 |
| Thesis type: | diploma thesis |
| Thesis language: | angličtina |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Radek Hendrych, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 01.10.2020 |
| Date of assignment: | 07.10.2020 |
| Confirmed by Study dept. on: | 05.04.2022 |
| Date and time of defence: | 08.06.2022 09:00 |
| Date of electronic submission: | 04.05.2022 |
| Date of submission of printed version: | 09.05.2022 |
| Date of proceeded defence: | 08.06.2022 |
| Opponents: | RNDr. Šárka Hudecová, Ph.D. |
| Guidelines |
| Diplomant se seznámí s vybranými modely volatility vícerozměrných finančních časových řad a s možnostmi kombinování jejich predikcí. Detailně je popíše (včetně zavedení adekvátního teoretického rámce) a eventuálně příslušně rozvine. Zvolené přístupy budou porovnány v simulační či empirické studii optimalizace portfolia aktiv. |
| References |
| Amendola, A. & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), pp. 83–91.
Bauwens, L., Laurent, S., Rombouts, J. V. K. (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics, 21(1), pp. 79–109. Becker, R. & Clements, A. E. (2008). Are combination forecasts of S&P500 volatility statistically superior? International Journal of Forecasting, 24(1), pp. 122–133. Caldeira, J. F., Moura, G. V., Nogales, F. J., Santos, A. A. P. (2017). Combining multivariate volatility forecasts: An economic-based approach. Journal of Financial Econometrics, 15(2), pp. 247–285. Hibon, M. & Evgeniou, T. (2005). To combine or not to combine: Selecting among forecasts and their combinations. International Journal of Forecasting, 21(1), pp. 15–24. |