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Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc; Braione, Manuela; Storti, Giuseppe - 2016
Persistent link: https://www.econbiz.de/10011894432
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://www.econbiz.de/10012215175
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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - 2022
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://www.econbiz.de/10013440073
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Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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Pricing of pseudo-swaps based on pseudo-statistics
Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …
Persistent link: https://www.econbiz.de/10014370400
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Structural constant conditional correlation
Weber, Enzo (contributor) - 2008
constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …
Persistent link: https://www.econbiz.de/10003636117
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …
Persistent link: https://www.econbiz.de/10003796131
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Structural conditional correlation
Weber, Enzo - 2009
Persistent link: https://www.econbiz.de/10003908252