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On the impact of serial dependence on penalized regression methods

Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022

regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation …

Persistent link: https://www.econbiz.de/10013336165

A factor-based estimation of integrated covariance matrix with noisy high-frequency data

Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784

Persistent link: https://www.econbiz.de/10013534498

Targeting predictors via partial distance correlation with applications to financial forecasting

Yousuf, Kashif; Yang, Feng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1007-1019

Persistent link: https://www.econbiz.de/10013539410

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

Persistent link: https://www.econbiz.de/10013459316

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

Persistent link: https://www.econbiz.de/10014281494

Outlier Robust Methods for Forecasting Realized Covariance Matrices

Li, Dan; Drovandi, Chris; Clements, Adam - 2023

This paper proposes two new approaches to improve estimation of the coefficients of the multivariate HAR (MHAR) model, and in turn improve forecast performance. A robust estimator of the covariance matrix is adopted to replace the realized covariance (RCov) matrix while estimating the MHAR...

Persistent link: https://www.econbiz.de/10014355197

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects

Gorgi, Paolo; Koopman, Siem Jan - In: Journal of econometrics 237 (2023) 2,2, pp. 1-21

Persistent link: https://www.econbiz.de/10014471518

Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures

Hartkopf, Jan Patrick; Reh, Laura - In: Finance research letters 56 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014473708