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Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure

Schoenmakers, John (contributor); Coffey, Brian (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001544421

Option-Implied Correlations, Factor Models, and Market Risk

Buss, Adrian - 2017

Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive … ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter … ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk …

Persistent link: https://www.econbiz.de/10012964588

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Forecasting Large Realized Covariance Matrices : The Benefits of Factor Models and Shrinkage

Brito, Diego - 2018

We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S&P 500 on a daily basis. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g., size, value and...

Persistent link: https://www.econbiz.de/10012921455

Spiked eigenvalues of high-dimensional separable sample covariance matrices

Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2019

Persistent link: https://www.econbiz.de/10012606738

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

Factor Covariances Predict Factor Returns

Barradale, Nigel J. - 2013

We examine low-turnover zero-investment "factor" portfolios constructed from various stock characteristics previously shown to predict returns. The nine different factor portfolios all exhibit negative market betas. Our central result is that a more negative beta across factors predicts higher...

Persistent link: https://www.econbiz.de/10013080208

Factor uniqueness in the S&P 500 universe : can proprietary factors exist?

Focardi, Sergio M.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10009779764

Investigating the drivers of international comovement in real financial asset returns

McKinnon, Kate - 2019

Persistent link: https://www.econbiz.de/10012224630

Forecasting high-dimensional realized volatility matrices using a factor model

Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887

Persistent link: https://www.econbiz.de/10012295649