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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …
Persistent link: https://www.econbiz.de/10012316010
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Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
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Instrumental variables estimation of a generalized correlated random coefficients model
Masten, Matthew; Torgovitsky, Alexander - 2014
We study identification and estimation of the average treatment effect in a correlated random coefficients model that …
Persistent link: https://www.econbiz.de/10010227690
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Dependence measures in bivariate gamma frailty models
Berg, Gerard J. van den; Effraimidis, Georgios - 2014
distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …
Persistent link: https://www.econbiz.de/10010339585
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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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Realized semicovariances : looking for signs of direction inside the covariance matrix
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017
components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …
Persistent link: https://www.econbiz.de/10012116691
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From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...
Persistent link: https://www.econbiz.de/10012249756
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...
Persistent link: https://www.econbiz.de/10012487589