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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … 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 …
Persistent link: https://www.econbiz.de/10003821063
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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 … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
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; … - 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 … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
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; … - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017 - Revised version
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011640555
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …
Persistent link: https://www.econbiz.de/10011518597
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Large Dynamic Covariance Matrices : Enhancements Based on Intraday Data
De Nard, Gianluca - 2020
. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012827099
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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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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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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...
Persistent link: https://www.econbiz.de/10009684066