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Large scale conditional covariance matrix modeling, estimation and testing
Ding, Zhuanxin; Engle, Robert F. - In: Jingji-lunwen 29 (2001) 2, pp. 157-184
Persistent link: https://www.econbiz.de/10001652987
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Large Dynamic Covariance Matrices
Engle, Robert F. - 2017
/GARCH family started by Engle (1982). In the cross-section, the key is to correct in-sample biases of sample covariance matrix … strands of literature in order to deliver improved estimation of large dynamic covariance matrices …
Persistent link: https://www.econbiz.de/10012968636
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Fitting vast dimensional time-varying covariance models
Pakel, Cavit; Shephard, Neil G.; Sheppard, Kevin; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations
Rangel, Jose Gonzalo - 2013
We propose a new approach to model high- and low-frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10013093890
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
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Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 537-572
Persistent link: https://www.econbiz.de/10003565737
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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - In: Review of finance : journal of the European Finance … 19 (2015) 1, pp. 145-190
Persistent link: https://www.econbiz.de/10011343055
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[Rezension von: Engle, Robert F., Anticipating correlations, a new paradigm for risk management]
Binsbergen, Jules H. van - In: Journal of economic literature 49 (2011) 1, pp. 150
Persistent link: https://www.econbiz.de/10009715494
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
/GARCH family started by Engle (1982). In the cross-section, the key is to correct in-sample biases of sample covariance matrix … these two strands of literature in order to deliver improved estimation of large dynamic covariance matrices. …
Persistent link: https://www.econbiz.de/10011518597