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Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...
Persistent link: https://www.econbiz.de/10012655380
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Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
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Bayesian rank selection in multivariate regression
Jiang, Bin; Panagiotelis, Anastasios; Athanasopoulos, George - 2016
Persistent link: https://www.econbiz.de/10011781655
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Covariance estimation for multivariate conditionally Gaussian dynamic linear models
Triantafyllopoulos, K. - In: Journal of forecasting 26 (2007) 8, pp. 551-569
Persistent link: https://www.econbiz.de/10003608120
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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 … estimator and discuss bias-corrected point and density forecasting by simulation. The methods are applied to stock market data …
Persistent link: https://www.econbiz.de/10010344500
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Asymptotic variance of Brier (skill) score in the presence of serial correlation
Lahiri, Kajal; Yang, Liu - 2015
applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …
Persistent link: https://www.econbiz.de/10010503468
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Two classes of covariance matrices giving simple linear forecasts
Jewell, William S. - 1975
Persistent link: https://www.econbiz.de/10003066199