We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … against time varying means and correlation of return data in parametric models and to obtain confidence bands for …