Search Results - subject:"Realized correlations"

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding … daily returns or realized correlations. …

Persistent link: https://www.econbiz.de/10015064180

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations

Bauwens, Luc; Xu, Yongdeng - 2019

Persistent link: https://www.econbiz.de/10012215175

Time-varying comovement of stock and treasury bond markets in Europe : a quantile regression approach

Lee, Hyunchul - In: International review of economics & finance : IREF 75 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012692434

A dynamic conditional approach to forecasting portfolio weights

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126

Persistent link: https://www.econbiz.de/10012794818

What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach

Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327

Persistent link: https://www.econbiz.de/10011754455

DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE

GOLOSNOY, VASYL; HERWARTZ, HELMUT - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250035-1

A class of dynamic factor and dynamic panel models is proposed for daily high dimensional correlation matrices of asset returns. These flexible semiparametric predictors process ultra high frequency information and allow to exploit both realized correlation matrices and exogenous factors for...

Persistent link: https://www.econbiz.de/10010562372

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

Dynamic modeling of high-dimensional correlation matrices in finance

Golosnoy, Vasyl; Herwartz, Helmut - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672608