Recent research provides considerable evidence that correlations between assets change significantly over time and diversification benefits of correlations may vary substantially based on the time-varying measure of correlation used for different asset types. Our study evaluates and compares...

The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, models allowing the correlation dynamics to be...

This paper presents an overview of existing research on wind speed and power forecasting. It first discusses state-of-the-art wind speed and power forecasting approaches. Then, forecasting accuracy is presented based on variable factors. Finally, potential techniques to improve the accuracy of...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...