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On portfolio optimization : forecasting covariances and choosing the risk model

Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999

Persistent link: https://www.econbiz.de/10001378371

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626