This paper evaluates the impact of co-movement in equity return correlations on the equity risk-return trade-off. By applying a principal components analysis on conditional correlations, conditional covariances between the return of a security and the market return are decomposed in a sum of...

We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and...

Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH common shocks, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte...