Search Results - subject:"conditional covariance"

Joint estimation of conditional mean and covariance for unbalanced panels

Filipović, Damir; Schneider, Paul - 2024

Persistent link: https://www.econbiz.de/10015117937

Multivariate analysis of energy commodities during the COVID-19 pandemic: Evidence from a mixed-frequency approach

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks 9 (2021) 8, pp. 1-20

This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...

Persistent link: https://www.econbiz.de/10013200808

Multivariate analysis of energy commodities during the COVID-19 pandemic : evidence from a mixed-frequency approach

Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks : open access journal 9 (2021) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10012612379

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

Stationarity and Invertibility of a Dynamic Correlation Matrix

mcAleer, Michael - 2017

conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … motivation, which is presently missing, for standardization of the conditional covariance model to obtain the conditional …

Persistent link: https://www.econbiz.de/10011819475

Stationarity and invertibility of a dynamic correlation matrix

McAleer, Michael - 2017 - Revised: September 2017

Persistent link: https://www.econbiz.de/10011715983

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Hafner, Christian M.; McAleer, Michael - 2014

three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …

Persistent link: https://www.econbiz.de/10010491317

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Hafner, Christian Matthias; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014

) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks rather than a dynamic conditional … correlation model; (ii) provides the motivation, which is presently missing, for standardization of the conditional covariance …

Persistent link: https://www.econbiz.de/10011162549

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Hafner, Christian M.; McAleer, Michael - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011257506

Factor High-Frequency Based Volatility (HEAVY) Models

Sheppard, Kevin - Department of Economics, Oxford University - 2014

conditions that ensure covariance stationary or returns, are established. The model is applied to modeling the conditional … covariance data of large U.S. financial institutions during the financial crisis, where empirical results show that the new model …

Persistent link: https://www.econbiz.de/10011004389