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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
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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
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …
Persistent link: https://www.econbiz.de/10010362978
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10010477092
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In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation …
Persistent link: https://www.econbiz.de/10010484891
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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of … simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare …
Persistent link: https://www.econbiz.de/10010504111
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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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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo C. - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
Persistent link: https://www.econbiz.de/10010433899