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Correlated Idiosyncratic Volatility Shocks
Qiao, Xiao - 2019
Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility innovations (VIN) and time-varyingidiosyncratic volatility...
Persistent link: https://www.econbiz.de/10012902994
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
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Principal volatility component analysis
Hu, Yu-Pin; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 153-177
Persistent link: https://www.econbiz.de/10010410764
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Long-range dependence in daily stock volatilities
Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262
Persistent link: https://www.econbiz.de/10001469693
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Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147
Persistent link: https://www.econbiz.de/10012424504