This paper proposes a nonparametric estimator of the spot volatility matrix with high-frequency data. Our newly proposed Positive Definite Fourier (PDF) estimator produces symmetric positive semi-definite estimates and is consistent with a suitable choice of the localizing kernel. The PDF...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Space tensors appear in physics and mechanics. Mathematically, they are tensors in the three-dimensional Euclidean space. In the research area of diffusion magnetic resonance imaging, convex optimization problems are formed where higher order positive semi-definite space tensors are involved. In...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...