Similar Search Results

Change-Point Detection in the Covariance Structure of Multivariate Volatility Models

Barassi, Marco R. - 2017

conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …

Persistent link: https://www.econbiz.de/10012945121

Correlation vs. causality in stock market comovement

Weber, Enzo (contributor) - 2007

This paper seeks to disentangle the sources of correlations between high-, mid- and low-cap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components...

Persistent link: https://www.econbiz.de/10003635066

Implied basket correlation dynamics

Härdle, Wolfgang; Silyakova, Elena - 2012

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 …

Persistent link: https://www.econbiz.de/10009665551

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

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

Policy evaluation of waste pricing programs using heterogeneous causal effect estimation

Valente, Marica - 2021

Using machine learning methods in a quasi-experimental setting, I study the heterogeneous effects of introducing waste prices - unit prices on household unsorted waste disposal - on waste demands and social welfare. First, using a unique panel of Italian municipalities with large variation in...

Persistent link: https://www.econbiz.de/10012671782

Messung von E-Servicequalität : eine branchenübergreifende Validierung

Bauer, Hans H.; Falk, Tomas; Hammerschmidt, Maik - In: Interactive Marketing im Web 2.0+ : Konzepte und …, (pp. 37-55). 2008

Persistent link: https://www.econbiz.de/10003762102

Implied basket correlation dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - 2012

Persistent link: https://www.econbiz.de/10010318771

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of …

Persistent link: https://www.econbiz.de/10003636008

Dynamic semiparametric factor models in risk neutral density estimation

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Persistent link: https://www.econbiz.de/10003727490

1
2
3
4
5
6
7
8
9
10
Next
Last