Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

2016 ◽  
Author(s):  
Marcos Lopez de Prado
Keyword(s):  
Out Of Sample ◽  
Sample Presentation

Effect of sample presentation protocols on the performance of a margarine expert panel

2012 ◽  
Vol 41 (Supplement 1) ◽  
pp. 62-72 ◽  
Author(s):  
A. Györey ◽  
A. Gere ◽  
Z. Kókai ◽  
P. Molnár ◽  
L. Sipos
Keyword(s):  
Expert Panel ◽  
Sample Presentation

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

Parametric approaches to risk management for natural gas prices: an out-of-sample evaluation

2011 ◽  
Vol 4 (2) ◽  
pp. 43-66
Author(s):  
Paolo Zagaglia
Keyword(s):  
Risk Management ◽  
Natural Gas ◽  
Out Of Sample ◽  
Natural Gas Prices

Out-of-Sample Industry Return Predictability: Evidence from a Large Number of Predictors

2011 ◽  
Author(s):  
David Rapach ◽  
Jack Strauss ◽  
Jun Tu ◽  
Guofu Zhou
Keyword(s):  
Return Predictability ◽  
Out Of Sample

Out-of-Sample GARCH Testing

2011 ◽  
Author(s):  
Vadim Suvorin
Keyword(s):  
Out Of Sample

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

2012 ◽  
Author(s):  
Paulo Rodrigues ◽  
Norman Seeger ◽  
Roman Frey
Keyword(s):  
Financial Crisis ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Out Of Sample ◽  
Good For ◽  
Equity Indices

Forecasting Stock Returns: New Out-of-Sample Evidence

2000 ◽  
Author(s):  
Martin Lettau ◽  
Sydney C. Ludvigson
Keyword(s):  
Stock Returns ◽  
Out Of Sample

Parameter Estimation With Out-of-Sample Objective

2018 ◽  
Author(s):  
Peter Reinhard Hansen ◽  
Elena-Ivona Dumitrescu
Keyword(s):  
Parameter Estimation ◽  
Out Of Sample
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