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Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …
Persistent link: https://www.econbiz.de/10013115577
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Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets
Boudt, Kris - 2017
We estimate the daily integrated variance and covariance of stock returns using high-frequency data in the presence of jumps, market microstructure noise and non-synchronous trading. For this we propose jump robust two time scale (co)variance estimators and verify their reduced bias and mean...
Persistent link: https://www.econbiz.de/10012976316
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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching
Shaw, William Thornton - 2011
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. DeVroye's approach to sampling the interior of a...
Persistent link: https://www.econbiz.de/10013124340
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Jump robust daily covariance estimation by disentangling variance and correlation components
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010
Persistent link: https://www.econbiz.de/10008989131
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012308723
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A robust test for predictability with unknown persistence
Liu, Guannan; Yao, Shuang - In: Economics letters 189 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012228019
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
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Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator
Kim, Donggyu; Oh, Minseog; Song, Minjeong; Wang, Yazhen - 2022
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture the dynamic evolution of market betas.We call this the...
Persistent link: https://www.econbiz.de/10013290654
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Multivariate Stochastic Volatility Models with Correlated Errors
Chan, David X. - 2008
We develop a Bayesian approach for parsimoniously estimating the correlation structure of the errors in a multivariate … stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors … is potentially very large, we impose a prior that allows the off-diagonal elements of the inverse of the correlation …
Persistent link: https://www.econbiz.de/10012727256