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Stochastic volatility models for the implied correlation index : evidence, properties and pricing

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Increased correlation among asset classes : Are volatility or jumps to blame, or both?

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Cross-section stock return and implied covariance between jump and diffusive volatility

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Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139