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Realized Wishart-GARCH : a score-driven multi-asset volatility model

Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012054424

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice

Dimitriadis, Timo; Halbleib, Roxana - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Persistent link: https://www.econbiz.de/10012317619

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

Forecasting stock volatility using pseudo-out-of-sample information

Li, Xiaodan; Gong, Xue; Ge, Futing; Huang, Jingjing - In: International review of economics & finance : IREF 90 (2024), pp. 123-135

Persistent link: https://www.econbiz.de/10014446892

Estimation of large volatility matrices with low-rank signal plus sparse noise structures

Dai, Runyu; Matsuda, Yasumasa - 2023

Persistent link: https://www.econbiz.de/10014310363

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10011637545

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

Extending the Fama and French model with a long term memory factor

López-García, M. N.; Trinidad-Segovia, J. E.; … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 421-426

Persistent link: https://www.econbiz.de/10012495319

Large dimensional portfolio allocation based on a mixed frequency dynamic factor model

Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563

Persistent link: https://www.econbiz.de/10013364893