We develop a Bayesian approach for parsimoniously estimating the correlation structure of the errors in a multivariate … stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors … is potentially very large, we impose a prior that allows the off-diagonal elements of the inverse of the correlation …

dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …

In this work the performance of a number of correlation estimators are compared on uniform but asynchronously observed … timeseries. Correlation estimates for a sample of main index equity indices: H225, HSI, BSE30, FTSE100, and SPX500, will be … levels are observed at different times during the day.Using a standard correlation estimator without correcting for …

general measure for dependence, is estimated using the correlation integral from chaos theory. The significance of the test …

correlation matrix of the discrete Fourier transform vector, as the sample size tends to 1. We derive an upper bound for this …

correlation and non-stationary volatility of unknown form. The feasible estimator relies on nonparametric estimation of the …