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. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …
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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...
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periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …
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