IDEAS home Printed from https://ideas.repec.org/p/rtr/wpaper/0166.html
   My bibliography  Save this paper

Multivariate statistical analysis for portfolio selection of italian stock market

Author

Listed:
  • Alessia Naccarato
  • Andrea Pierini

Abstract

The use of bivariate cointegrated vector autoregressive models and Baba-Engle-Kraft-Kroner models ( Engle et al. 1995), is proposed for the selection of a stock portfolio (Markowitz type portfolio) based on estimates of average returns on shares and the volatility of share prices. The model put forward envisages the use of explicative variables. This article employs the intrinsic value of shares as a variable, which will make it possible to take the theory of value into account. The model put forward is applied to a series of data regarding the prices of 150 shares traded on the Italian stock market.

Suggested Citation

  • Alessia Naccarato & Andrea Pierini, 2012. "Multivariate statistical analysis for portfolio selection of italian stock market," Departmental Working Papers of Economics - University 'Roma Tre' 0166, Department of Economics - University Roma Tre.
  • Handle: RePEc:rtr:wpaper:0166
    as

    Download full text from publisher

    File URL: http://dipeco.uniroma3.it/public/WP%20166%20Naccarato%20Pierini.pdf
    Download Restriction: no

    More about this item

    Keywords

    Markowitz Portfolio; Cointegrated Vector Autoregressive Models; BEKK Model;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rtr:wpaper:0166. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Telephone for information). General contact details of provider: http://edirc.repec.org/data/dero3it.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.