unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this …

average returns of value, size and momentum portfolios. While the influence of market volatility on average correlation is …Dynamic average correlations of stock returns are predicted by the volatility of the market excess return and moving … returns share sources of risk like the market volatility, but there are other sources that are distinct. In particular …

Several novel large volatility matrix estimation methods have been developed based on the high-frequency financial data …. They often employ the approximate factor model that leads to a low-rank plus sparse structure for the integrated volatility … matrix and facilitates estimation of large volatility matrices. However, for predicting future volatility matrices, these …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …