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Robust covariance matrix estimation with data-dependent VAR prewhitening order

Den Haan, Wouter J.; Levin, Andrew T. - 2000

Persistent link: https://www.econbiz.de/10001500668

Robust covariance matrix estimation with data-dependent var prewhitening order

Den Haan, Wouter J.; Levin, Andrew T. - 2000

Persistent link: https://www.econbiz.de/10001489979

Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order

den Haan, Wouter J.; Levin, Andrew T. - 2021

This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...

Persistent link: https://www.econbiz.de/10013212913

Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process

Kose, Nezir; Ucar, Nuri - In: Applied economics letters 13 (2006) 4, pp. 223-228

Persistent link: https://www.econbiz.de/10003382400

Testing instantaneous causality in presence of nonconstant unconditional covariance

Gianetto, Quentin Giai; Rai͏̈ssi, Hamdi - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 46-53

Persistent link: https://www.econbiz.de/10011389673

An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

Persistent link: https://www.econbiz.de/10010433899

Macroeconomic forecasting and structural analysis through regularized reduced-rank regression

Bernardini, Emmanuela; Cubadda, Gianluca - In: International journal of forecasting 31 (2015) 3, pp. 682-691

Persistent link: https://www.econbiz.de/10011474523

Analyzing Multiple Vector Autoregressions Through Matrix-Variate Normal Distribution with Two Covariance Matrices

Wichitaksorn, Nuttanan - 2017

This paper proposes a new approach to analyze multiple vector autoregressive (VAR) models that render us a newly constructed matrix autoregressive (MtAR) model based on a matrix-variate normal distribution with two covariance matrices. The MtAR is a generalization of VAR models where the two...

Persistent link: https://www.econbiz.de/10012943981

Dude Where's My VaR? Annualising Volatility with Serial Correlation

Scott, Robert B. - 2017

fail to adjust for serial correlation in fund, index and relative return data. The standard deviation of daily, weekly and … are surprisingly rare. As a result, serial correlation in returns data requires an adjustment to the annualised volatility … calculation. This paper describes the rationale for this methodology and simple but necessary adjustments for serial correlation …

Persistent link: https://www.econbiz.de/10012975781

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