for volatility, correlation and covariance using high frequency financial data. It also implements complementary …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

novel statistical methods have been introduced to address large volatility matrix estimation problems from a high … Huber loss function with a diverging threshold to develop a robust realized volatility estimation. We show that it has the … the proposed estimation methods …

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and …