Measuring Risk with COGARCH(p,q) Models

31 Pages Posted: 17 Oct 2016

See all articles by Francesco Bianchi

Francesco Bianchi

Catholic University of the Sacred Heart of Milan

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Date Written: October 15, 2016

Abstract

In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154 European hedge funds tracking the performance of the FTSE100 Index while the second contains the members of FTSE100. The performances of different strategies are investigated from an out-of-sample perspective.

Keywords: ICA-COGARCH(p,q) Model, Risk Measures, Portfolio Selection, Tree Construction

Suggested Citation

Bianchi, Francesco and Mercuri, Lorenzo and Rroji, Edit, Measuring Risk with COGARCH(p,q) Models (October 15, 2016). Available at SSRN: https://ssrn.com/abstract=2852858 or http://dx.doi.org/10.2139/ssrn.2852858

Francesco Bianchi

Catholic University of the Sacred Heart of Milan ( email )

Largo Gemelli, 1
Via Necchi 9
Milan, MI 20123
Italy

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
103
Abstract Views
433
rank
262,059
PlumX Metrics