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Large dynamic covariance matri...
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Gil-Alaña, Luis A.
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Perron, Pierre
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Econometric reviews
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Oxford bulletin of economics and statistics
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International review of financial analysis
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ECONIS (ZBW)
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ArchiDok
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16,338
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1
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
Saved in:
2
DCC-HEAVY : a multivariate GARCH model with realized measures of variance and
correlation
Xu, Yongdeng
-
2019
This paper proposes a new class of multivariate
volatility
model that utilising high-frequency data. We call this model …
Persistent link: https://www.econbiz.de/10012009351
Saved in:
3
Gold, oil, and stocks
Barunik, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2014
in specific
correlation
dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
Saved in:
4
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus
;
Kyj, Lada. M.
;
Malec, Peter
-
2013
-
First version: September 2011, This version: February 2013
models. We show that HF-based predictions yield a significantly lower portfolio
volatility
than methods employing daily …
Persistent link: https://www.econbiz.de/10009714536
Saved in:
5
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
6
Realized Wishart-GARCH : a score-driven multi-asset
volatility
model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
7
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
8
The contribution of realized covariance models to the economic value of
volatility
timing
Bauwens, Luc
;
Xu, Yongdeng
-
2023
allow these to differ from the
correlation
processes (namely, DCC-type models) are more beneficial than the models that …
Persistent link: https://www.econbiz.de/10014434629
Saved in:
9
Building multivariate time-varying smooth transition
correlation
GARCH models, with an application to the four largest Australian banks
Hall, Anthony
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-37
this area are the specification tests related to the
correlation
component, the extension of the general model to allow for … additional
correlation
regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …
Persistent link: https://www.econbiz.de/10014281494
Saved in:
10
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
Saved in:
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