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 …

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 …

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …