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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
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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"Absolute Return" : Theorie und Empirie am Beispiel der "Best of Two"-Strategie
Dichtl, Hubert; Schlenger, Christian - In: Risikomanagement und kapitalmarktorientierte …, (pp. 841-867). 2009
Persistent link: https://www.econbiz.de/10003861672
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A new online-test for changes in correlations between assets
Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010
Persistent link: https://www.econbiz.de/10008839855
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Dynamic panel data models with spatial correlation
Hujer, Reinhard; Rodrigues, Paulo J. M.; Wolf, Katja - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 5/6, pp. 612-629
Persistent link: https://www.econbiz.de/10003813556
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Assortative mating on risk attitude
Bacon, Philomena M.; Conte, Anna; Moffatt, Peter G. - In: Theory and decision : an international journal for … 77 (2014) 3, pp. 389-401
Persistent link: https://www.econbiz.de/10010481912
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The persistence and asymmetry of time-varying correlations
Baur, Dirk G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10009232806
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International asset allocation with regime shifts
Ang, Andrew; Bekaert, Geert - In: The review of financial studies 15 (2002) 4, pp. 1137-1187
Persistent link: https://www.econbiz.de/10001716088
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Persistent link: https://www.econbiz.de/10001555314