The estimation of the covariances of high-frequency asset prices is problematic because of asynchronous trading and …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket … relatively narrow and therefore greater caution is highly recommended when interpreting estimation results. …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given … about multivariate models of time-varying conditional covariance and correlation models. …

-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …