the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …