Financial activities are closely related to human social life. Data mining plays an important
role in the analysis and prediction of financial markets, especially in the context of the …

Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data
points with stability in order to avoid excessive rebalancing. To achieve this, a new …

A non-Gaussian multivariate regime switching dynamic correlation model for financial asset
returns is proposed. It incorporates the multivariate generalized hyperbolic law for the …

Recently, the world of cryptocurrencies has experienced an undoubted increase in interest.
Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the …

The CCC-GARCH model, and its dynamic correlation extensions, form the most important
model class for multivariate asset returns. For multivariate density and portfolio risk …

The following sections are included: Learning Objectives Introduction A Taxonomy of
Transaction Costs Liquidity and Transaction Costs Market Impact Measurements and …

We propose a doubly subordinated Lévy process, the normal double inverse Gaussian
(NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two …

The CCC-GARCH model, and its dynamic correlation extensions, form the most important
model class for multivariate asset returns. For multivariate density and portfolio risk …

A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed
for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The …

The present paper combines nonlinear shrinkage with the multivariate generalized
hyperbolic (MGHyp) distribution, thereby extending a flexible parametric model to high …