in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

these forecasts. In this paper we analyse these effects on the context of dynamic conditional correlation (DCC) models when … for return, volatilities, conditional correlation and VaR that is robust to outliers. The results are illustrated with …

fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … calculation. This paper describes the rationale for this methodology and simple but necessary adjustments for serial correlation …

correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result … that links the correlation between two standardized variables with the variances of linear combinations thereof. In a Monte … Carlo study, we show that the VICC yields accurate correlation estimates for common choices of the correlation dynamics. We …

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …