noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing …

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 …

We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that … market-adjusted return correlation matrix to that of logarithmic return correlation matrix on an 18-year dataset of 310 S …

conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …

.S. trading sessions. Importantly, we document that co-jumps significantly influence correlation in currency markets …

. Causal relations are analysed using the recently developed concept of general correlation Zheng et al. (2012) and Vinod (2017 …

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 …