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Large Dynamic Covariance Matrices
Engle, Robert F. - 2017
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10012968636
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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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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …
Persistent link: https://www.econbiz.de/10012584099
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …
Persistent link: https://www.econbiz.de/10012253083
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Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
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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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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
that characterize long-term correlation patterns. We associate such term behavior with low-frequency economic variables … improves both the empirical fit of equity correlations in the U.S. and correlation forecasts at long horizons …
Persistent link: https://www.econbiz.de/10013093890
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063