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Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Persistent link: https://www.econbiz.de/10010344500

Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

Persistent link: https://www.econbiz.de/10010411945

Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

Persistent link: https://www.econbiz.de/10010412428

Obtaining and Predicting the Bounds of Realized Correlations

Grossmass, Lidan - 2013

The problem of estimation of realized correlation, which is analogous to realized covariance, is compounded by effects … point identification of realized correlation difficult, but identification bounds in the spirit of Manski (1995) can be … derived. These identification bounds allow for a more robust approach to inference, especially when the realized correlation …

Persistent link: https://www.econbiz.de/10013082359

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Fan, Jianqing - 2017

High-frequency financial data allow us to estimate large volatility matrices with relatively short time horizon. Many novel statistical methods have been introduced to address large volatility matrix estimation problems from a high-dimensional Ito process with microstructural noise...

Persistent link: https://www.econbiz.de/10012941604

A Machine Learning Approach to Estimating Large Positive Definite Covariance Matrix of High Frequency Data

Cui, Liyuan - 2019

This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and covariance dimension are large. Assuming that a large covariance matrix can be decomposed into low rank and sparse components, our method simultaneously provides a consistent...

Persistent link: https://www.econbiz.de/10012867396

Long-Run Wavelet-Based Correlation for Financial Time Series

Conlon, Thomas - 2018

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …

Persistent link: https://www.econbiz.de/10012917953

High-Frequency Covariance Matrix Estimation Using Price Durations

Zhao, Xiaolu - 2018

We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...

Persistent link: https://www.econbiz.de/10012921768

Covariates hiding in the tails

Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021

Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...

Persistent link: https://www.econbiz.de/10012627934

Dating Multiple Change Points in the Correlation Matrix

Galeano, Pedro - 2015

We propose a nonparametric procedure for detecting and dating multiple change points in the correlation matrix of a … sequence of random variables. The procedure is based on a test for changes in correlation matrices at an unknown point in time …

Persistent link: https://www.econbiz.de/10013033694