unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …