Showing 11 - 20 of 52
Persistent link: https://www.econbiz.de/10009771098
Persistent link: https://www.econbiz.de/10009744766
Persistent link: https://www.econbiz.de/10009754989
Persistent link: https://www.econbiz.de/10009725302
Persistent link: https://www.econbiz.de/10009723138
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …
Persistent link: https://www.econbiz.de/10010374571
Persistent link: https://www.econbiz.de/10010348322
This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...
Persistent link: https://www.econbiz.de/10011456708
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...
Persistent link: https://www.econbiz.de/10011536626
Persistent link: https://www.econbiz.de/10010410197