Search Results - subject:"realized covariance matrix"

Exponential smoothing of realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237

Persistent link: https://www.econbiz.de/10012171651

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

Persistent link: https://www.econbiz.de/10010378291

Matrix Box-Cox Models for Multivariate Realized Volatility

Weigand, Roland - Wirtschaftswissenschaftliche Fakultät, Universität … - 2014

We propose flexible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

Persistent link: https://www.econbiz.de/10010897016

Matrix Box-Cox Models for Multivariate Realized Volatility

Weigand, Roland - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2014

Persistent link: https://www.econbiz.de/10010904380

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

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

Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market

Ubukata, Masato - In: Economics Bulletin 30 (2010) 4, pp. 2906-2919

This paper examines effects of realized covariance matrix estimators based on high-frequency data on large …-scale minimum-variance equity portfolio optimization. The main results are: (i) the realized covariance matrix estimators yield a … historical returns; (ii) gains to switching to strategies using the realized covariance matrix estimators are higher for an …

Persistent link: https://www.econbiz.de/10008692045

Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market

Ubukata, Masato - Graduate School of Economics, Osaka University - 2009

The objective of this paper is to examine effects of realized covariance matrix estimators based on intraday returns on … with different covariance matrix estimators: the realized covariance matrix estimators and Bayesian shrinkage estimators … based on the past monthly and daily returns. The main results are: (1) the realized covariance matrix estimators using the …

Persistent link: https://www.econbiz.de/10008567945

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of International Money and Finance 53 (2015) C, pp. 95-114

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...

Persistent link: https://www.econbiz.de/10011263954

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912