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Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …

Persistent link: https://www.econbiz.de/10012584099

Variance risk : a bird's eye view

Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535

Persistent link: https://www.econbiz.de/10012439498

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 …

Persistent link: https://www.econbiz.de/10012253083

Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518

Persistent link: https://www.econbiz.de/10011692391

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521005

Pricing the correlation skew with normal mean-variance mixture copulas

Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99

Persistent link: https://www.econbiz.de/10013549659

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

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

Persistent link: https://www.econbiz.de/10013461761

Modeling and forecasting realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian - In: Journal of banking & finance 138 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013461907

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