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Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios

Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537

Persistent link: https://www.econbiz.de/10014232686

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

A latent dynamic factor approach to forecasting multivariate stock market volatility

Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651

Persistent link: https://www.econbiz.de/10011949857

The generalized conditional autoregressive wishart model for multivariate realized volatility

Yu, Philip L. H.; Li, Wai Keung; Ng, F. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 513-527

Persistent link: https://www.econbiz.de/10011893712

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

When "time varying" volatility meets "transaction cost" in portfolio selection

Qiao, W.; Bu, Di; Gibberd, Alex J.; Liao, Yin; Wen, Ting; … - In: Journal of empirical finance 73 (2023), pp. 220-237

Persistent link: https://www.econbiz.de/10014477015

Unrestricted, restricted, and regularized models for forecasting multivariate volatility

Anatolyev, Stanislav; Staněk, Filip - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 199-218

Persistent link: https://www.econbiz.de/10014288890

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

correlation MSV model, the conditional/stochastic Wishart autoregressive models, the matrix-exponential MSV model, and the … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the …

Persistent link: https://www.econbiz.de/10010259630