We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

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

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

&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …

&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …

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 …

The estimation of the covariances of high-frequency asset prices is problematic because of asynchronous trading and …