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 …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

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 …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …