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Estimating time-varying networks for high-dimensional time series
Chen, Jia; Li, Degui; Li, Yuning; Linton, Oliver - 2022 - Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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Matrix Box-Cox models for multivariate realized volatility
Weigand, Roland - 2014
covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …
Persistent link: https://www.econbiz.de/10010344500
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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
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Semiparametric approaches to the prediction of conditional correlation matrices in finance
Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …
Persistent link: https://www.econbiz.de/10003516408
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick; Reh, Laura - In: Finance research letters 56 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014473708