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Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes
Fischer, Matthias (contributor) - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is … correlation ; trigonometric functions …
Persistent link: https://www.econbiz.de/10003633489
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Correlation vs. causality in stock market comovement
Weber, Enzo (contributor) - 2007
This paper seeks to disentangle the sources of correlations between high-, mid- and low-cap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components...
Persistent link: https://www.econbiz.de/10003635066
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Structural constant conditional correlation
Weber, Enzo (contributor) - 2008
constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …
Persistent link: https://www.econbiz.de/10003636117
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …
Persistent link: https://www.econbiz.de/10003796131
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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
; correlation …
Persistent link: https://www.econbiz.de/10003796141
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - 2008
asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …
Persistent link: https://www.econbiz.de/10003796145
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Estimation of the signal subspace without estimation of the inverse covariance matrix
Panov, Vladimir - 2010
Let a high-dimensional random vector ⃗X can be represented as a sum of two components - a signal ⃗S , which belongs to some low-dimensional subspace S, and a noise component ⃗N . This paper presents a new approach for estimating the subspace S based on the ideas of the Non-Gaussian...
Persistent link: https://www.econbiz.de/10008663366
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Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 2012
conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10009306337
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CDO surfaces dynamics
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013
correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …
Persistent link: https://www.econbiz.de/10009763975