breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in … the forecasting accuracy of the correlation component models by explicitly accounting for parameter instability over time …

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 … change point estimators. Moreover, we illustrate its performance in finite samples by means of a simulation study and the …

We investigate long-run stock-bond correlation using a model that combines the dynamic conditional correlation model … with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical …-bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is …

we fail to reject the null hypothesis. The simulation results show that the estimator studied here performs better than …

correlation predictions. The volatilities are here forecast using hybrid neural networks while correlations follow a traditional …

The Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the … endogenously determines an optimal degree of commonality in the correlation innovations, allowing a part of the update to be of … does not restrict long-run behavior, thereby naturally complementing target correlation matrix shrinkage approaches …

We propose a score-driven extension to the well-known dynamic conditional correlation (DCC) model. The p-range DCC … model provides means to capture the time-varying influence from news on correlation dynamics. The recursion to update the …-varying severity of news enriches the examination of correlation dynamics for a global cross-section of equity indices. More …

Correlation models, such as Constant Conditional Correlation (CCC) GARCH model or Dynamic Conditional Correlation (DCC … constant correlation tests into correlation models has been proven to be helpful in terms of the improvement of the accuracy of … VaR or ES forecasts. Galeano & Wied (2017) suggested an algorithms for detecting structural breaks in the correlation …