Index tracking strategy based on mixed-frequency financial data.
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ABSTRACT:
SUBMITTER: Cui X
PROVIDER: S-EPMC8023492 | biostudies-literature | 2021
REPOSITORIES: biostudies-literature
Publications
Index tracking strategy based on mixed-frequency financial data.
PloS one 20210406 4
To obtain market average return, investment managers need to construct index tracking portfolio to replicate target index. Currently, most literatures use financial data that has homogenous frequency when constructing the index tracking portfolio. To make up for this limitation, we propose a methodology based on mixed-frequency financial data, called FACTOR-MIDAS-POET model. The proposed model can utilize the intraday return data, daily risk factors data and monthly or quarterly macro economy da ...[more]
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