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Do co-jumps impact correlations in currency markets?
Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119
Persistent link: https://www.econbiz.de/10012001025
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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Optimal portfolios when variances and covariances can jump
Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
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Disentangling the role of variance and covariance information in portfolio selection problems
Santos, André A. P. - In: Quantitative finance 19 (2019) 1, pp. 57-76
Persistent link: https://www.econbiz.de/10012194620
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - 2019
Persistent link: https://www.econbiz.de/10012215175
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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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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
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Evaluation of volatility spillovers for asymmetric realized covariance
Maki, Daiki - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014581009