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The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

A Clustering Algorithm for Financial Time Series Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory

Rodriguez Dominguez, Alejandro - 2022

correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows … tests, with information about previous evolution of correlation in time. We apply this solution to financial time series …

Persistent link: https://www.econbiz.de/10014084356

High-frequency data and stock-bond investing

Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638

Persistent link: https://www.econbiz.de/10013465728

Cross-Correlation Dynamics in Financial Time Series

Conlon, Thomas - 2014

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by … 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlation matrix, over these time windows … associated with periods where the largest eigenvalue is smallest. The study of correlation dynamics provides some insight on the …

Persistent link: https://www.econbiz.de/10013064758

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...

Persistent link: https://www.econbiz.de/10010491085

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

Persistent link: https://www.econbiz.de/10003858887

Modelling the dynamics of conditional dependency between financial series

Jondeau, Eric; Rockinger, Michael - In: Multi-moment asset allocation and pricing models, (pp. 195-221). 2006

Persistent link: https://www.econbiz.de/10003477407

Random matrix approach to correlation matrix of financial data : (Mexican stock market case)

Casillas González, Juan Martín; Torres, Antonio Alatorre - In: Modern economy 6 (2015) 9, pp. 1033-1042

Persistent link: https://www.econbiz.de/10011441589

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...

Persistent link: https://www.econbiz.de/10011293917