asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

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 …

temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of …. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the …

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …

correlations as well as the long-run component. Moreover, we also allow the correlation dynamics to be subjected to regime … mixed results. In general component models allowing for a richer correlation specification possess a (marginally) increased … predictive accuracy. Economically speaking, no relevant gains are found by allowing for more flexibility in the correlation …