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Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries

Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220

Persistent link: https://www.econbiz.de/10011624489

Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum … tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue … of determining the optimal sampling frequency, which strikes a balance between variance and bias in covariance matrix …

Persistent link: https://www.econbiz.de/10011346450

A multivariate volatility vine copula model

Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308

Persistent link: https://www.econbiz.de/10012038690

Evaluation of volatility spillovers for asymmetric realized covariance

Maki, Daiki - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014581009

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations

Yamauchi, Yuta; Omori, Yasuhiro - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 839-855

Persistent link: https://www.econbiz.de/10012313374

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Modeling and forecasting realized covariance matrices with accounting for leverage

Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139

Persistent link: https://www.econbiz.de/10012038156

A dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818

Multivariate leverage effects and realized semicovariance GARCH models

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430

Persistent link: https://www.econbiz.de/10012482780