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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

Realized semicovariances : looking for signs of direction inside the covariance matrix

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

Persistent link: https://www.econbiz.de/10012116691

Package CovRegpy : Regularised Covariance Regression and Forecasting in Python

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

Persistent link: https://www.econbiz.de/10014253907

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...

Persistent link: https://www.econbiz.de/10009151649

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10009151650

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10009388782

Forecasting Structural Changes in Short and Long-Run Correlations : A Mixed Regime DCC-MIDAS Model

marchese, malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - 2022

breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in … the forecasting accuracy of the correlation component models by explicitly accounting for parameter instability over time …

Persistent link: https://www.econbiz.de/10013291422

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...

Persistent link: https://www.econbiz.de/10012022157

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063