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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651
Persistent link: https://www.econbiz.de/10011949857
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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Covariance Forecasting in Equity Markets
Symitsi, Efthymia - 2018
while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …
Persistent link: https://www.econbiz.de/10012915984
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting
Capera Romero, Laura; Opschoor, Anne - 2024
volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …
Persistent link: https://www.econbiz.de/10015064180
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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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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893