Search Results - subject:"covariance matrix"

A new multivariate EWMA scheme for monitoring covariance matrices

Shen, Xiaobei; Tsung, Fugee; Zou, Changliang - In: International journal of production research 52 (2014) 10, pp. 2834-2850

Persistent link: https://www.econbiz.de/10010353340

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232

Persistent link: https://www.econbiz.de/10010433385

Principal volatility component analysis

Hu, Yu-Pin; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 153-177

Persistent link: https://www.econbiz.de/10010410764

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Persistent link: https://www.econbiz.de/10010344500

An empirical Bayesian approach to stein-optimal covariance matrix estimation

Gillen, Benjamin J. - In: Journal of empirical finance 29 (2014), pp. 402-420

Persistent link: https://www.econbiz.de/10011300451

Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test

Ren, Yu; Shimotsu, Katsumi - 2007

Jagannathan and Wang (1996) derive the asymptotic distribution of the Hansen-Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan (1997), and develop a specification test of asset pricing models based on the HJ-distance. While the HJ-distance has several desirable properties,...

Persistent link: https://www.econbiz.de/10011940740

Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test

Ren, Yu; Shimotsu, Katsumi - Economics Department, Queen's University - 2007

Persistent link: https://www.econbiz.de/10005688211

Tranquil and Crisis Windows, Heteroscedasticity, and Contagion Measurement: MS-VAR Application of the DCC Procedure

Pontines, Victor; Siregar, Reza Y. - School of Economics, University of Adelaide - 2007

The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance … Matrix (DCC) procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e., tranquil and crisis …

Persistent link: https://www.econbiz.de/10008568469

Efficient Tests of the Seasonal Unit Root Hypothesis

Rodrigues, Paulo M. M.; A.M. Robert Taylor - Universidade do Algarve <Faro>; University <Nottingham> … - 2006

known error covariance matrix, asymptotic local power bounds for seasonal unit root tests for both known and unknown ….1) where Ω is the (known) non-singular covariance matrix of the vector v ≡ (v1,...,vT)prime and ∆cy ≡ (∆cy1,...,∆cyT …

Persistent link: https://www.econbiz.de/10005868620

On the estimation and comparison of short-rate models using the generalised method of moments

Faff, R.; Gray, P. - 2006

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

Persistent link: https://www.econbiz.de/10009448412