Portfolio construction using bootstrapping neural networks: evidence from global stock market
Sign Up to like & getrecommendations! Published in 2019 at "Review of Derivatives Research"
DOI: 10.1007/s11147-019-09163-y
Abstract: The study investigates the investment value of global stock markets by a portfolio construction method combined with bootstrapping neural network architecture. A residual sample will be generated from bootstrapping sample procedure and then incorporated into… read more here.
Keywords: bootstrapping neural; portfolio construction; global stock; stock ... See more keywords
Spreading the fear: The central role of CBOE VIX in global stock market uncertainty
Sign Up to like & getrecommendations! Published in 2021 at "Global Finance Journal"
DOI: 10.1016/j.gfj.2021.100679
Abstract: Construction of efficient portfolios is reliant on understanding the correlation between assets. If correlations change markedly during times of economic turmoil then investors are exposed to greater risk at the most inopportune time. We examine… read more here.
Keywords: stock market; market uncertainty; global stock; uncertainty ... See more keywords
Dynamics of the Global Stock Market Networks Generated by DCCA Methodology
Sign Up to like & getrecommendations! Published in 2020 at "Applied Sciences"
DOI: 10.3390/app10062171
Abstract: A group of stock markets can be treated as a complex system. We tried to find the financial market crisis by constructing a global 24 stock market network while using detrended cross-correlation analysis. The community… read more here.
Keywords: methodology; stock market; global stock; stock ... See more keywords
Trend analysis of global stock market linkage based on a dynamic conditional correlation network
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Business Economics and Management"
DOI: 10.3846/16111699.2017.1341849
Abstract: The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific… read more here.
Keywords: stock market; global stock; stock; dynamic conditional ... See more keywords