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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
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … 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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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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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651
Persistent link: https://www.econbiz.de/10011949857
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Asymmetry in stock comovements : an entropy approach
Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
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Dynamic cross-correlation and dynamic contagion of stock markets : a sliding windows approach with the DCCA correlation coefficient
Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Empirical economics : a quarterly journal of the … 60 (2021) 3, pp. 1127-1156
Persistent link: https://www.econbiz.de/10012490509
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Why are there time-varying comovements in the European stock market?
Ferreira, Eva; Orbe-Mandaluniz, Susan - In: The European journal of finance 24 (2018) 10/12, pp. 828-848
Persistent link: https://www.econbiz.de/10012244414
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645