for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …

-wide shocks. Overall, the results suggest that asymmetric correlation in stock returns is asymmetric correlation in stock …

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …

is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …

This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model … and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result … that links the correlation between two standardized variables with the variances of linear combinations thereof. In a Monte … Carlo study, we show that the VICC yields accurate correlation estimates for common choices of the correlation dynamics. We …

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …