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The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

Persistent link: https://www.econbiz.de/10014480607

DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation

Xu, Yongdeng - 2019

realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation … and has more desirable asymptotic properties. We also derive a Quasi-maximum likelihood estimation and provide closed …

Persistent link: https://www.econbiz.de/10012429985

On the economic determinants of optimal stock-bond portfolios: International evidence

Conrad, Christian; Stürmer, Karin - 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

Persistent link: https://www.econbiz.de/10011853171

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Persistent link: https://www.econbiz.de/10011745369

DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation

Xu, Yongdeng - 2019

Persistent link: https://www.econbiz.de/10012009351

Observation-driven hierarchical density models for missing data imputation

Khanna, Yonas; Lucas, André - 2025

We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...

Persistent link: https://www.econbiz.de/10015394879

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

Casas, Isabel - 2018

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...

Persistent link: https://www.econbiz.de/10012925879

Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?

Louzis, Dimitrios P. - 2011

based on two S&P 500 cash index out-of-sample forecasting periods, one of which covers exclusively the recent 2007 … realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR …

Persistent link: https://www.econbiz.de/10013126884

Multi-period credit default prediction with time-varying covariates

Orth, Walter - 2011 - First draft: March 17, 2011

augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …

Persistent link: https://www.econbiz.de/10008939079

A note on the early warning system of change points : combination of regime switching and threshold models

Habibi, Reza - In: Financial studies 28 (2024) 2, pp. 6-18

occur. Two important statistical models for change point detection and prediction are the regime-switching and threshold … different regimes. In a threshold model, change is detected as soon as a split variable passes a threshold. In this paper, by … combining the two mentioned models, namely regime switching and threshold, an EWS for change point detection is designed. The …

Persistent link: https://www.econbiz.de/10015065127