Narrow search
Showing 1 - 10 of 1,346
Cover Image
The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
Cover Image
Matrix Box-Cox models for multivariate realized volatility
Weigand, Roland - 2014
covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …
Persistent link: https://www.econbiz.de/10010344500
Cover Image
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Persistent link: https://www.econbiz.de/10001555314
Cover Image
Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010515402
Cover Image
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
Cover Image
Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10011386468
Cover Image
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
Miccichè, Salvatore - 2012
how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among …
Persistent link: https://www.econbiz.de/10013099664
Cover Image
Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models
Colon, James - 2013
Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...
Persistent link: https://www.econbiz.de/10013086014
Cover Image
Dude Where's My VaR? Annualising Volatility with Serial Correlation
Scott, Robert B. - 2017
fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … calculation. This paper describes the rationale for this methodology and simple but necessary adjustments for serial correlation …
Persistent link: https://www.econbiz.de/10012975781