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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

Modeling covariance breakdowns in multivariate GARCH

Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011705024

Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

Persistent link: https://www.econbiz.de/10010433899

Statistical causes for the Epps effect in microstructure noise

Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246

Persistent link: https://www.econbiz.de/10009541998

Estimating covariation : Epps effect, microstructure noise

Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 33-47

Persistent link: https://www.econbiz.de/10009242560

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …

Persistent link: https://www.econbiz.de/10014370400

Beta-adjusted covariance estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

Persistent link: https://www.econbiz.de/10012432948

DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations

Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955

Persistent link: https://www.econbiz.de/10014465168

Predicting stock market returns with average correlation and average variance : decomposition approach

Oh, Jong-Min - In: Finance research letters 63 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014531460

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881

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