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Dynamic correlations and optimal hedge rations

Bos, Charles S.; Gould, Phillip - 2007

Persistent link: https://www.econbiz.de/10003482688

Dynamic correlations and optimal hedge ratios

Bos, Charles S.; Gould, Phillip - 2007

good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

Persistent link: https://www.econbiz.de/10011372522

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

Persistent link: https://www.econbiz.de/10011343243

Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10011346450

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Predicting covariance matrices with financial conditions indexes

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2013

Persistent link: https://www.econbiz.de/10009784937

Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881

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