Search Results - subject:"Realized covariance"

Forecasting comparison of long term component dynamic models for realized covariance matrices

BAUWENS, Luc; BRAIONE, Manuela; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2014

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance …

Persistent link: https://www.econbiz.de/10011246317

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - Tinbergen Instituut - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … realized covariance matrices almost as precisely as if we had known the true driving dynamics of these in advance. We next … investigate the sources of these driving dynamics for the realized covariance matrices of the 30 Dow Jones stocks and find that …

Persistent link: https://www.econbiz.de/10011256058

Obtaining and Predicting the Bounds of Realized Correlations

Grossmass, Lidan - In: Swiss Journal of Economics and Statistics (SJES) 150 (2014) III, pp. 191-226

This paper argues that the inherent data problems make precise point identification of realized correlation difficult but identification bounds in the spirit of Manski (1995) can be derived. These identification bounds allow for a more robust approach to inference especially when the realized...

Persistent link: https://www.econbiz.de/10011276126