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Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'

Bauwens, Luc - 2017

This Appendix contains details on several technical points and additional empirical results. Sections in this Appendix are indexed by letters and formulas/tables/figures by a letter followed by a number (e.g. A.1). Sections and formulas/tables/figures of the paper are referenced by numbers. In...

Persistent link: https://www.econbiz.de/10012956778

Modeling the Dependence of Conditional Correlations on Market Volatility

Bauwens, Luc - 2017

Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have shown that the market volatility is a major determinant of the correlations. We extend some models to include explicitly the dependence of...

Persistent link: https://www.econbiz.de/10012956782

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

Casas, Isabel - 2018

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...

Persistent link: https://www.econbiz.de/10012925879

A multivariate Kernel approach to forecasting the variance covariance of stock market returns

Becker, Ralf; Clements, Adam; O'Neill, Robert - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27

This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

Persistent link: https://www.econbiz.de/10011823257

Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model

Yang, Minxian - 2011

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …

Persistent link: https://www.econbiz.de/10013133961

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …

Persistent link: https://www.econbiz.de/10013040932

Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

Persistent link: https://www.econbiz.de/10010411945

Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

Persistent link: https://www.econbiz.de/10010412428

Econometric Analysis of Multivariate Realised QML : Estimation of the Covariation of Equity Prices under Asynchronous Trading

Shephard, Neil G. - 2016

Estimating the covariance between assets using high frequency data is challenging due to market microstructure effects and asynchronous trading. In this paper we develop a multivariate realised quasi maximum likelihood (QML) approach, carrying out inference as if the observations arise from an...

Persistent link: https://www.econbiz.de/10013008145