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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10012584099
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 1, pp. 115-126
Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable …
Persistent link: https://www.econbiz.de/10009776381
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
Persistent link: https://www.econbiz.de/10012253083
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An introduction to understanding and teaching within-cluster correlation in complex surveys
Barreto, Humberto; Raghav, Manu - In: Eastern economic journal 43 (2017) 4, pp. 727-728
Persistent link: https://www.econbiz.de/10012244036
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A risk-sensitive approach for stressed transition probability matrixes
Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74
Persistent link: https://www.econbiz.de/10011991970
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Stressing correlations and volatilities — A consistent modeling approach
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of Empirical Finance 21 (2013) C, pp. 174-194
We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...
Persistent link: https://www.econbiz.de/10011042126
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of International Money and Finance 50 (2015) C, pp. 78-107
perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …
Persistent link: https://www.econbiz.de/10011116929
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Small sample bias of alternative estimation methods for moment condition models : Monte Carlo evidence for covariance structures
Ramalho, Joaquim J. S. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003283136
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Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
Xie, Jing; Frazier, Peter I.; Chick, Stephen E. - In: Operations research 64 (2016) 2, pp. 542-559
Persistent link: https://www.econbiz.de/10011485629