Modeling and forecasting realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian

doi:10.1016/j.jbankfin.2022.106404

Cited by 7 publications

(3 citation statements)

References 61 publications

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“…Of course, the IP-correction factors should be newly derived for each particular measure, however, this challenging task is beyond the scope of our paper and is left for future research, as e.g. the task of deriving IP correction factors for realized portfolio weights (Golosnoy et al 2019, 2020, or Golosnoy and Gribisch 2022. The impact of IP on these additional estimators is investigated in the follow-up paper of Dette et al (2022).…”

Section: Discussion and Further Extensionsmentioning

confidence: 99%

The effect of intraday periodicity on realized volatility measures

Dette

Golosnoy

Kellermann

2022

Metrika

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We focus on estimating daily integrated volatility (IV) by realized measures based on intraday returns following a discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on realized estimators may lead to invalid statistical inference concerning IV for a common finite number of intraday returns. For a given IP functional form, we analytically derive robust IP-correction factors for realized measures of IV as well as their asymptotic distributions. We show both in Monte Carlo simulations and empirically that the proposed bias corrections are the robust way to account for IP by computing realized estimators.

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Section: Discussion and Further Extensionsmentioning

confidence: 99%

The effect of intraday periodicity on realized volatility measures

Dette

Golosnoy

Kellermann

2022

Metrika

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“…Researchers like Golosnoy and Gribisch [24] advocate for incorporating specific risk measures into portfolio construction. Metrics such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) capture tail risk and extreme events.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Others, like Golosnoy and Gribisch [24], have incorporated specific risk measures, while studies [25][26][27][28][29][30] have catered strategies to different investor risk preferences. These studies emphasize accounting for tail risk and skewness.…”

Section: Literature Reviewmentioning

confidence: 99%