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Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

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 …

Persistent link: https://www.econbiz.de/10012956168

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Boudt, Kris - 2012

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

Persistent link: https://www.econbiz.de/10013115577

Jump robust daily covariance estimation by disentangling variance and correlation components

Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010

Persistent link: https://www.econbiz.de/10008989131

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

Persistent link: https://www.econbiz.de/10011458810

Robust parametric tests of constant conditional correlation in a MGARCH model

Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576

Persistent link: https://www.econbiz.de/10012039397

An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

Testing instantaneous causality in presence of nonconstant unconditional covariance

Gianetto, Quentin Giai; Rai͏̈ssi, Hamdi - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 46-53

Persistent link: https://www.econbiz.de/10011389673

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012250452