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Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

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/10013040932

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

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Forecasting equity index volatility by measuring the linkage among component stocks

Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186

Persistent link: https://www.econbiz.de/10012878191

Emergence of Non-Speculative Demand for Bitcoin : Learning about Stochastic Correlations with Stock Markets

Yae, James; Tian, George Zhe - 2021

When a new asset keeps changing its narrative, investors find difficulty in classifying and understanding the new asset. Rational investors therefore face unprecedented uncertainty and learn about the joint dynamics to optimize their portfolio accordingly. Bitcoin's "digital gold" narrative, as...

Persistent link: https://www.econbiz.de/10013243835

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

Chen, Xin; Yang, Dan; Xu, Yan; Xia, Yin; Wang, Dong; … - 2021

theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore … imperative to make rigorous statistical inference on correlation matrix equality between the two groups of countries. However, if …-Gaussian distributions, i.e., testing non-correlation and correlation equality, as well as the corresponding support estimations. We develop …

Persistent link: https://www.econbiz.de/10013314503

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

Why are there time-varying comovements in the European stock market?

Ferreira, Eva; Orbe-Mandaluniz, Susan - In: The European journal of finance 24 (2018) 10/12, pp. 828-848

Persistent link: https://www.econbiz.de/10012244414

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