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The Properties of Realized Correlation : Evidence from the French, German and Greek Equity Markets
Vortelinos, Dimitrios I. - 2015
In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …
Persistent link: https://www.econbiz.de/10013029288
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …
Persistent link: https://www.econbiz.de/10014353334
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Factor structural time series models for official statistics with an application to hours worked in Germany
Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015
factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …
Persistent link: https://www.econbiz.de/10011309972
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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...
Persistent link: https://www.econbiz.de/10013130487
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Forecasting Realized Volatility : Does Anything Beat Linear Models?
Branco, Rafael; Rubesam, Alexandre; Zevallos, Mauricio - 2022
We evaluate the performance of several linear and nonlinear machine learning models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset which includes past values of the RV and additional...
Persistent link: https://www.econbiz.de/10014076641
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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
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10010499593
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Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Roesch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
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Comovement of Exchange Rates : A Wavelet Analysis
Andries, Alin Marius - 2015
In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the … are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …
Persistent link: https://www.econbiz.de/10013035510
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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350