We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

The present thesis comprises two rather independent chapters. In general, the diagnosis and quantification of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very different...

A portfolio investor requires statistical tools for the timely detection of changes in the optimal portfolio composition. Several multivariate cumulative sum (CUSUM) control charts are proposed for the purpose of monitoring optimal portfolio weights. The ability of the CUSUM schemes to detect...

This paper considers estimation of an unknown distribution parameter in situations where we believe that the parameter belongs to a finite interval. We propose for such situations an interval shrinkage approach which combines in a coherent way an unbiased conventional estimator and non-sample...

This paper considers a mean-variance portfolio investor facing proportional transaction costs and willing to account for estimation risk with a shrinkage approach. In such a situation the optimal portfolio policy can be characterized by no-transaction bounds existing both due to transaction cost...

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...