Perfeziona i miei risultati

Document type

Collection spécifique

Lingua

Autore

Università della Svizzera italiana

A dynamic model of expected bond returns : a functional gradient descent approach

Audrino, Francesco ; Barone-Adesi, Giovanni

In: Computational statistics & data analysis, 2006, vol. 51, no. 4, p. 2267-2277

A multivariate methodology based on Functional Gradient Descent to estimate and forecast time-varying expected bond returns is presented and discussed. Backtesting this procedure on US monthly data, empirical evidence of its strong forecasting potential in terms of the accuracy of the predictions is collected. The proposed methodology clearly outperforms the classical univariate analysis used...

Università della Svizzera italiana

A multivariate FGD technique to improve VaR computation in equity markets

Audrino, Francesco ; Barone-Adesi, Giovanni

In: Computational management science, 2005, vol. 2, no. 2, p. 87-106

It is difficult to compute Value-at-Risk (VaR) using multivariate models able to take into account the dependence structure between large numbers of assets and being still computationally feasible. A possible procedure is based on functional gradient descent (FGD) estimation for the volatility matrix in connection with asset historical simulation. Backtest analysis on simulated and real data...