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The determinants of asymmetric volatility
Wu, Guojun - In: The review of financial studies 14 (2001) 3, pp. 837-859
Persistent link: https://www.econbiz.de/10001602980
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
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Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations
Baltas, Nick - 2019
dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …
Persistent link: https://www.econbiz.de/10012905544
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012232995
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Risk control : who cares?
Taylor, Nicholas - In: European financial management : the journal of the … 23 (2017) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10011713430
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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857