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New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025 - This version: February 28, 2025

We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...

Persistent link: https://www.econbiz.de/10015329825

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

Tail heterogeneity for dynamic covariance-matrix-valued random variables : the F-Riesz distribution

Blasques, Francisco; Lucas, André; Opschoor, Anne; … - 2021

We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In contrast to the typical matrix-valued distributions from the econometric literature, the F-Riesz distribution allows for di↵erent tail behavior across all variables in the...

Persistent link: https://www.econbiz.de/10012421038

Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given … about multivariate models of time-varying conditional covariance and correlation models. …

Persistent link: https://www.econbiz.de/10010250536

New HEAVY models for fat-tailed returns and realized covariance kernels

Janus, Paweł; Lucas, André; Opschoor, Anne - 2014

We develop a new model for the multivariate covariance matrix dynamics based on daily return observations and daily realized covariance matrix kernels based on intraday data. Both types of data may be fat-tailed. We account for this by assuming a matrix-F distribution for the realized kernels,...

Persistent link: https://www.econbiz.de/10010364103

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

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …

Persistent link: https://www.econbiz.de/10011431354

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …

Persistent link: https://www.econbiz.de/10010259630

Model-based measurement of actual volatility in high-frequency data

Jungbacker, Borus; Koopman, Siem Jan - 2004

are based on importance sampling techniques. It is shown that such Monte Carlo techniques can be employed successfully for …

Persistent link: https://www.econbiz.de/10011342558