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Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

Persistent link: https://www.econbiz.de/10011520881

Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

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

Persistent link: https://www.econbiz.de/10011949857

Time variation in cash flows and discount rates

Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589

Persistent link: https://www.econbiz.de/10014444702

Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models

Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436

Persistent link: https://www.econbiz.de/10014226292

Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data

Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79

Persistent link: https://www.econbiz.de/10012139780

How predictable are equity covariance matrices? : evidence from high-frequency data for four markets

Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557

Persistent link: https://www.econbiz.de/10011282861

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

Persistent link: https://www.econbiz.de/10011860248