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How predictable are equity covariance matrices? : evidence from high-frequency data for four markets

Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557

Persistent link: https://www.econbiz.de/10011282861

Modeling and forecasting of realized covariance matrices of asset returns using state-space models

Hartkopf, Jan Patrick - 2021

Persistent link: https://www.econbiz.de/10013264907

Forecasting high-dimensional realized volatility matrices using a factor model

Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887

Persistent link: https://www.econbiz.de/10012295649

Realized Wishart-GARCH : a score-driven multi-asset volatility model

Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012054424

DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation

Xu, Yongdeng - 2019

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...

Persistent link: https://www.econbiz.de/10012009351

Multiplicative conditional correlation models for realized covariance matrices

Bauwensa, Luc; Braione, Manuela; Storti, Giuseppe - 2016

Persistent link: https://www.econbiz.de/10011894432

Factor state-space models for high-dimensional realized covariance matrices of asset returns

Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012175249