Search Results - subject:"Conditional correlations"

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de/10015371777

Cholesky GAS models for large time-varying covariance matrices

Zheng, Tingguo; Ye, Shiqi - In: Journal of management science and engineering 9 (2024) 1, pp. 115-142

This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....

Persistent link: https://www.econbiz.de/10014504757

Macroprudential and monetary policy interactions and coordination in South Africa : evidence from business and financial cycle synchronisation

Malibongwe Cyprian Nyati; Muzindutsi, Paul-Francois; … - In: Economies : open access journal 11 (2023) 11, pp. 1-23

for the measurement of composite indices, while both the dynamic conditional correlations and asymmetric generalised … dynamic conditional correlations models were adopted for synchronisation analysis, together with the Metcalfe scale of …

Persistent link: https://www.econbiz.de/10014463239

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013164130