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Persistent link: https://www.econbiz.de/10010191407
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
Persistent link: https://www.econbiz.de/10009720703
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10011386468
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
Persistent link: https://www.econbiz.de/10011536626
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 Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the … endogenously determines an optimal degree of commonality in the correlation innovations, allowing a part of the update to be of … does not restrict long-run behavior, thereby naturally complementing target correlation matrix shrinkage approaches …
Persistent link: https://www.econbiz.de/10012650187
This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...
Persistent link: https://www.econbiz.de/10015064180
Persistent link: https://www.econbiz.de/10001689451
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