De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …