Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

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

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …