Similar Search Results

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

On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models

Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309

Persistent link: https://www.econbiz.de/10011628354

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

Persistent link: https://www.econbiz.de/10009714536

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

Large-dimensional factor modeling based on high-frequency observations

Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10012139775

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

Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data

Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79

Persistent link: https://www.econbiz.de/10012139780

Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563

Persistent link: https://www.econbiz.de/10013364893

Dynamic covariance matrix estimation and portfolio analysis with high-frequency data

Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491

Persistent link: https://www.econbiz.de/10014526333

1
2
3
4
5
6
7
8
9
10
Next
Last