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Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Chou, Ray Yeutien; Wu, Chun-chou; Liu, Nathan - In: Review of quantitative finance and accounting 33 (2009) 4, pp. 327-345
This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model …
Persistent link: https://www.econbiz.de/10003927245
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Bilateral Counterparty Risk Valuation for Interest-Rate Products : Impact of Volatilities and Correlations
Brigo, Damiano - 2010
value of the contract at the relevant default times. We allow for correlation between the default times of the investor and … counterparty, and for correlation of each with the underlying risk factor, namely interest rates. We also analyze the often …
Persistent link: https://www.econbiz.de/10013150257
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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
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
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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
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Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121
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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
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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
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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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
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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …
Persistent link: https://www.econbiz.de/10003747371