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On the phase dependence in time-varying correlations between time-series
Blasques, Francisco - 2013
Persistent link: https://www.econbiz.de/10010191407
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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
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10011386468
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016
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
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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
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Pooling Dynamic Conditional Correlation models
Os, Bram van; Dijk, Dick van - 2021
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
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Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting
Capera Romero, Laura; Opschoor, Anne - 2024
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
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Detecting serial dependence in tail events : a test dual to the BDS test
Diks, Cees G. H. - 2002
Persistent link: https://www.econbiz.de/10001689451
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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