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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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Wealth forever : the analytics of stock markets
Khoury, Sarkis J. (contributor) - 2003
Persistent link: https://www.econbiz.de/10008699529
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
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International sentiment spillovers in equity returns
Bathia, Deven; Bredin, Donal; Nitzsche, Dirk - In: International journal of finance & economics : IJFE 21 (2016) 4, pp. 332-359
Persistent link: https://www.econbiz.de/10011698788
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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A latent dynamic factor approach to forecasting multivariate stock market volatility
Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651
Persistent link: https://www.econbiz.de/10011949857
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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - 2014
Persistent link: https://www.econbiz.de/10011788857
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379