Search Results - subject:"Realized covariance"

Intra-daily volatility spillovers between the US and German stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10010308958

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from …

Persistent link: https://www.econbiz.de/10010318779

Realized mixed-frequency factor models for vast dimensional covariance estimation

van Dijk, Dick; Bannouh, Bannouh, K.; Martens, Martens, … - Erasmus Research Institute of Management (ERIM), … - 2012

realized covariance estimators based on high-frequency data. …

Persistent link: https://www.econbiz.de/10010730865

Intra-daily volatility spillovers between the US and German stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2012

Persistent link: https://www.econbiz.de/10010954815

Computationally efficient inference procedures for vast dimensional realized covariance models

BAUWENS, Luc; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2012

realized covariance models. In particular, we derive a Composite Maximum Likelihood (CML) estimator for the parameters of a …

Persistent link: https://www.econbiz.de/10010927682

Forecasting Covariance Matrices: A Mixed Frequency Approach

Halbleib, Roxana; Voev, Valeri - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2012

In this paper we introduce a new method of forecasting covariance matrices of large dimensions by exploiting the theoretical and empirical potential of using mixed-frequency sampled data. The idea is to use high-frequency (intraday) data to model and forecast daily realized volatilities combined...

Persistent link: https://www.econbiz.de/10010595543

Realized Copula

Fengler, Matthias R.; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from …

Persistent link: https://www.econbiz.de/10010549032

Modelling Realized Covariances and Returns

Jin, Xin; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time …

Persistent link: https://www.econbiz.de/10010555042

Dynamic conditional correlation models for realized covariance matrices

BAUWENS, Luc; STORTI, Giuseppe; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix …

Persistent link: https://www.econbiz.de/10010662648

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012 - Current Draft: November 2008

between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to … autoregressive model introduced by Gourieroux et al. (2005) analyzes the realized covariance matrices without any restriction on the … positive definite forecasts for the realized covariance matrices. Unfortunately, it is still not feasible for large asset cross …

Persistent link: https://www.econbiz.de/10010407673