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Testing high-dimensional covariance matrices under the elliptical distribution and beyond

Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423

Persistent link: https://www.econbiz.de/10012619243

Dynamic principal component CAW models for high-dimensional realized covariance matrices

Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821

Persistent link: https://www.econbiz.de/10012262622

Autoregressive spatial spectral estimates

Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10011974618

Non-homogeneous volatility correlations in the bivariate multifractal model

Liu, Ruipeng; Lux, Thomas - In: The European journal of finance 21 (2015) 10/12, pp. 971-991

Persistent link: https://www.econbiz.de/10011301954

Some results for extreme value processes in analogy to the Gaussian spectral representation

Ehlert, Andree; Schlather, Martin - 2010

before. We show, for the one-dimensional case, the equivalence of the set correlation functions and the extremal coefficient …

Persistent link: https://www.econbiz.de/10010336338

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626