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The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Essays on financial econometrics

Marcucci, Juri - 2005

Persistent link: https://www.econbiz.de/10003384566

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

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 …

Persistent link: https://www.econbiz.de/10003516408

Forecasting international stock market correlations : does anything beat a CCC?

Manner, Hans; Reznikova, Olga - 2010

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …

Persistent link: https://www.econbiz.de/10008939359

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

Persistent link: https://www.econbiz.de/10009782578

How Predictable are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets

Chen, Jing - 2012

Most pricing and hedging models rely on the long run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries, the US, UK, Japan and Germany, we test the rolling stability of realized sample covariance matrices using two complementary...

Persistent link: https://www.econbiz.de/10013102950

High Dimensional Covariance Forecasting for Short Intra-Day Horizons

Oomen, Roel C. A. - 2010

Asset return covariances at intra-day horizons are known to be biased towards zero due to market microstructure effects. Thus, traders who simply scale their daily covariance forecast to match their trading horizon, are likely to over-estimate the actual experienced asset dependence. In this...

Persistent link: https://www.econbiz.de/10013152788

Are Analysts Whose Forecast Revisions Correlate Less with Prior Stock Price Changes Better Information Producers and Monitors?

Hwang, Chuan-Yang - 2020

We propose an ex ante measure of analysts' production of private information (PPI) based on the correlations between analysts' forecast revisions and prior stock price changes. We validate this measure by examining whether analysts with lower correlations (higher PPI) provide more information...

Persistent link: https://www.econbiz.de/10012857457

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