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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Quantiles of the realized stock-bond correlation and links to the macroeconomy

Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of empirical finance 28 (2014), pp. 321-331

Persistent link: https://www.econbiz.de/10011285626

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

Does Heterogeneity in investment horizons affect portfolio diversification? : some insights using M-GARCH-DCC and wavelet correlation analysis

Najeeb, Syed Faiq; Obiyathulla Ismath Bacha; Masih, Mansur - In: Emerging markets finance & trade : a journal of the … 51 (2015) 1, pp. 188-208

Persistent link: https://www.econbiz.de/10011344334

Contribution to portfolio tracking error volatility with geometric illustration

Zhang, Jubao; Ma, Juan - In: Applied economics letters 31 (2024) 20, pp. 2176-2181

Persistent link: https://www.econbiz.de/10015095156

Can turnover go to zero?

Kakushadze, Zura - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 157-176

Persistent link: https://www.econbiz.de/10010462974

Characteristics are covariances: a unified model of risk and return

Kelly, Bryan T.; Pruitt, Seth; Su, Yinan - In: Journal of financial economics 134 (2019) 3, pp. 501-524

Persistent link: https://www.econbiz.de/10012168621

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

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

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

Bannouh, Karim; Martens, Martin; Oomen, Roel C. A.; … - 2012

We introduce a Mixed-Frequency Factor Model (MFFM) to estimate vast dimensional covari- ance matrices of asset returns. The MFFM uses high-frequency (intraday) data to estimate factor (co)variances and idiosyncratic risk and low-frequency (daily) data to estimate the factor loadings. We propose...

Persistent link: https://www.econbiz.de/10014039947