Search Results - subject:"Conditional Covariance"

Joint estimation of conditional mean and covariance for unbalanced panels

Filipović, Damir; Schneider, Paul - 2024

Persistent link: https://www.econbiz.de/10015117937

Covariance matrix filtering and portfolio optimisation : the average oracle vs non-linear shrinkage and all the variants of DCC-NLS

Bongiorno, Christian; Challet, Damien - In: Quantitative finance 24 (2024) 9, pp. 1227-1234

Persistent link: https://www.econbiz.de/10015196881

Multivariate analysis of energy commodities during the COVID-19 pandemic: Evidence from a mixed-frequency approach

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks 9 (2021) 8, pp. 1-20

This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...

Persistent link: https://www.econbiz.de/10013200808

Multivariate analysis of energy commodities during the COVID-19 pandemic : evidence from a mixed-frequency approach

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks : open access journal 9 (2021) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10012612379

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

Reactive global minimum variance portfolios with k-BAHC covariance cleaning

Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360

Persistent link: https://www.econbiz.de/10013532213

Control variables approach to estimate semiparametric models of mismeasured endogenous regressors with an application to U.K. twin data

Kim, Kyoo Il; Song, Suyong - In: Econometric reviews 41 (2022) 4, pp. 448-483

Persistent link: https://www.econbiz.de/10013364890

Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation

Mohammed, Nawaf; Furman, Edward; Su, Jianxi - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 425-436

Persistent link: https://www.econbiz.de/10012793935

Stationarity and Invertibility of a Dynamic Correlation Matrix

mcAleer, Michael - 2017

conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … motivation, which is presently missing, for standardization of the conditional covariance model to obtain the conditional …

Persistent link: https://www.econbiz.de/10011819475

Stationarity and invertibility of a dynamic correlation matrix

McAleer, Michael - 2017 - Revised: September 2017

Persistent link: https://www.econbiz.de/10011715983