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Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563

Persistent link: https://www.econbiz.de/10013364893

New HEAVY models for fat-tailed returns and realized covariance kernels

Janus, Paweł; Lucas, André; Opschoor, Anne - 2014

) multivariate volatility models, both in-sample and out-of-sample. We also comment on the possibility to use composite likelihood … methods for estimation if desired. …

Persistent link: https://www.econbiz.de/10010364103

A DCC-type approach for realized covariance modeling with score-driven dynamics

Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586

Persistent link: https://www.econbiz.de/10012792854

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

Bauwens, Luc; Xu, Yongdeng - 2023

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

Persistent link: https://www.econbiz.de/10014434629

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

Bauwens, Luc; Xu, Yongdeng - 2023

Persistent link: https://www.econbiz.de/10014322165

Forecasting stock returns with large dimensional factor models

Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - 2020

Persistent link: https://www.econbiz.de/10012299362

Forecasting stock returns with large dimensional factor models

Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - In: Journal of empirical finance 63 (2021), pp. 252-269

Persistent link: https://www.econbiz.de/10013259267

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

Rank tests at jump events

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

Persistent link: https://www.econbiz.de/10012177350

Identifying latent factors based on high-frequency data

Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270

Persistent link: https://www.econbiz.de/10014341048