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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 … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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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 … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
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Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953
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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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Comfort: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - 2013
model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …
Persistent link: https://www.econbiz.de/10010256409
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Time-varying correlations of REITs and implications for portfolio management
Anderson, Jackson; Anderson, Randy I.; Guirguis, Hany S.; … - In: Journal of real estate research : JRER ; a publication … 43 (2021) 3, pp. 317-334
Persistent link: https://www.econbiz.de/10012696750
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Regime dependent volatilities and correlation in international securitized real estate markets
Liow, Kim Hiang; Ye, Qing - In: Empirica : journal of european economics 45 (2018) 3, pp. 457-487
Persistent link: https://www.econbiz.de/10012031221
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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Forecasting the Value-at-Risk of REITs using realized volatility jump models
Odusami, Babatunde Olatunji - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013186421
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Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures
Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71
Persistent link: https://www.econbiz.de/10011625055