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Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

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Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

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Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

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Large dynamic covariance matrices : enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16

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The effect of uncertainty on stock market volatility and correlation

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of banking & finance 154 (2023), pp. 1-15

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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159

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Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

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A latent dynamic factor approach to forecasting multivariate stock market volatility

Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651

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