autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … returns is multiplied by the square root of the frequency of the data in order to arrive at an annualised volatility or σ …

correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result … that links the correlation between two standardized variables with the variances of linear combinations thereof. In a Monte … Carlo study, we show that the VICC yields accurate correlation estimates for common choices of the correlation dynamics. We …

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …

In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the … are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …

time-varying covariance matrix of the multivariate Student's <I>t</I> distribution. The key novelty of our proposed model …

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad …-M) models to examine the volatility and covariance of fuel prices in these nations. The results of the study indicate that there …