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Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010407672

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980

Persistent link: https://www.econbiz.de/10010517774

Realized volatility forecast of financial futures using time-varying HAR latent factor models

Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243

monthly volatility variables, the corresponding volatility factors, and a speculation variable. In addition, the time …-of-sample forecasts. Furthermore, the speculation variable displays strong predictability for forecasting the realized volatility of …

Persistent link: https://www.econbiz.de/10014315947

Forecasting with supervised factor models

Umbach, Simon Lineu - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 169-190

Persistent link: https://www.econbiz.de/10012216370

Mixed-frequency macro-finance factor models : theory and applications

Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - In: Journal of financial econometrics 18 (2020) 3, pp. 585-628

Persistent link: https://www.econbiz.de/10012316703

Correlation matrix of equi-correlated normal population : fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market

Akama, Yohji - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-27

Persistent link: https://www.econbiz.de/10014365670

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Chapter 15 Volatility and Correlation Forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10014023691

Investigating the drivers of international comovement in real financial asset returns

McKinnon, Kate - 2019

Persistent link: https://www.econbiz.de/10012224630