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Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range

Asai, Manabu - 2012

The paper considers the return and range model with dynamic conditional correlations (DCC). The paper suggests the new speci cations for the asymmetric effects on log-volatilities and dynamic correlations, combined with long-run dependences. The new DCC model can be estimated by the...

Persistent link: https://www.econbiz.de/10013100553

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

Beta Observation-Driven Models With Exogenous Regressors : A Joint Analysis of Realized Correlation and Leverage Effects

Gorgi, Paolo - 2020

impact of past values of realized correlation on future values is at least 10% higher when stock returns are negative rather … than positive. This finding supports the conjecture that correlation between stock returns tends to be higher when stock …

Persistent link: https://www.econbiz.de/10012843003

Correlation of Democracy Indicators and Markets Returns

Axelrod, Scott - 2017

a positive mean (averaged over studies) total correlation (correlation of change vectors indexed by country-year pairs …. We obtain a result almost as strong when the correlation is aggregated differently using the separate country and year … statistical theory of correlation and (unconstrained) regression. This provides background to the novel applications of hypothesis …

Persistent link: https://www.econbiz.de/10012957781

Qiao, Xiao - 2019

year. To capture the commonality in idiosyncratic volatility, we propose the Dynamic Factor Correlation model, which …

Persistent link: https://www.econbiz.de/10012902994

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Gribisch, Bastian - 2018

We propose a dynamic factor state-space model for high-dimensional covariance matrices of asset returns. It uses observed risk factors and assumes that the latent covariance matrix of assets and factors is observed through their realized covariance matrix with a Wishart measurement density. The...

Persistent link: https://www.econbiz.de/10012908082

Covariance Prediction in Large Portfolio Allocation

Trucíos, Carlos - 2019

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict one-step-ahead...

Persistent link: https://www.econbiz.de/10012895989

Investor Co-Attention and Stock Market Comovement

Symitsi, Efthymia - 2017

proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This …

Persistent link: https://www.econbiz.de/10012941907

Large Dynamic Covariance Matrices : Enhancements Based on Intraday Data

De Nard, Gianluca - 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/10012827099

Covariance Prediction in Large Portfolio Allocation : Supplementary Material

Trucíos, Carlos - 2019

In this supplementary material we discuss the results corresponding to the case without short-selling constraints of the empirical application in the paper of Trucíos et al. (2019). These results are given in Tables 9-16

Persistent link: https://www.econbiz.de/10012869690