Showing 1 - 10 of 14
In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator of MGARCH models is very sensitive to outliers in the data. We propose to use robust M-estimators and provide...
Persistent link: https://www.econbiz.de/10014220834
The equal-risk-contribution, inverse-volatility weighted, maximum-diversification and minimum-variance portfolio weights are all direct functions of the estimated covariance matrix. We perform a Monte Carlo study to assess the impact of covariance matrix misspecification to these risk-based...
Persistent link: https://www.econbiz.de/10012971143
We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...
Persistent link: https://www.econbiz.de/10013115577
Persistent link: https://www.econbiz.de/10009126801
Persistent link: https://www.econbiz.de/10009127498
Persistent link: https://www.econbiz.de/10009301110
Persistent link: https://www.econbiz.de/10009743433
Persistent link: https://www.econbiz.de/10008989131
Persistent link: https://www.econbiz.de/10003624500
Persistent link: https://www.econbiz.de/10011711667