-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from … long memory in conditional volatilities and not from long memory in conditional correlation …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …