Search Results - subject:"conditional covariance matrix"

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

On the robustness of the principal volatility components

Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219

Persistent link: https://www.econbiz.de/10012171112

Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift

Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011687059

A suggestion for constructing a large time-varying conditional covariance matrix

Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Economics letters 156 (2017), pp. 110-113

Persistent link: https://www.econbiz.de/10011822383

Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications

Long, Xiangdong; Su, Liangjun; Ullah, Aman - Department of Economics, University of California-Riverside - 2009

We propose a semiparametric conditional covariance (SCC) estimator that combines the ï¬rst-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a...

Persistent link: https://www.econbiz.de/10005008766

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - 2002

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector …

Persistent link: https://www.econbiz.de/10010281189

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector … and Finance, No. 516 November 22, 2002 Abstract In this paper we derive conditions for the conditional covariance matrix …: conditional covariance matrix,multivariate GARCH,mul- tivariate volatility model,random coefficient model,volatility forecasting …

Persistent link: https://www.econbiz.de/10005649365