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 …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non …-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … communication by the Bank of Canada and the Federal Reserve significantly affect the co-movement of financial markets. We find that …

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …