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  • Search: subject:"realized covariance matrix"
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Year of publication
Subject
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Realized covariance matrix 16 Correlation 13 Korrelation 13 Time series analysis 12 Zeitreihenanalyse 12 Volatilität 11 Volatility 10 Estimation 7 Estimation theory 7 Schätztheorie 7 Schätzung 7 realized covariance matrix 7 Capital income 5 Kapitaleinkommen 5 Theorie 5 Theory 5 density forecasting 5 dynamic correlation 5 semiparametric estimation 5 ARCH model 4 ARCH-Modell 4 Analysis of variance 4 Conditional autoregressive Wishart model 4 Forecasting model 4 Impulse response analysis 4 Portfolio selection 4 Portfolio-Management 4 Prognoseverfahren 4 Subprime crisis 4 Varianzanalyse 4 Cointegration 3 Covariance targeting 3 Dynamic factor 3 High-dimensional data 3 Kointegration 3 Markov chain 3 Markov chain Monte Carlo 3 Markov-Kette 3 Monte Carlo simulation 3 Monte-Carlo-Simulation 3
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Online availability
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Free 14 Undetermined 7
Type of publication
All
Book / Working Paper 14 Article 9
Type of publication (narrower categories)
All
Working Paper 8 Article in journal 7 Aufsatz in Zeitschrift 7 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Collection of articles of several authors 1 Collection of articles written by one author 1 Hochschulschrift 1 Sammelwerk 1 Sammlung 1
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Language
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English 19 Undetermined 4
Author
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Weigand, Roland 6 Golosnoy, Vasyl 5 Gribisch, Bastian 5 Liesenfeld, Roman 4 Alfelt, Gustav 3 Bodnar, Taras 3 Javed, Farrukh 3 Omori, Yasuhiro 3 Tyrcha, Joanna 3 Ubukata, Masato 3 Yamauchi, Yuta 3 Hartl, Tobias 2 Audrino, Francesco 1 Corsi, Fulvio 1 Jucknewitz, Roland 1 Peluso, Stefano 1 Qu, Hui 1 Seifert, Miriam 1 Tschernig, Rolf 1 Watanabe, Toshiaki 1 Weber, Enzo 1 Zhang, Yi 1
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Institution
All
Graduate School of Economics, Osaka University 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 School of Economics and Political Science, Universität St. Gallen 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 Wirtschaftswissenschaftliche Fakultät, Universität Regensburg 1
Published in...
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CIRJE discussion papers / F series 2 BGPE Discussion Paper 1 BGPE discussion paper : Bavarian graduate program in economics 1 Discussion Papers in Economics and Business 1 Econometric reviews 1 Economic modelling 1 Economics Bulletin 1 Economics Working Paper 1 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 1 Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Journal of International Money and Finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of empirical finance 1 Journal of financial econometrics 1 Journal of international money and finance 1 Journal of the Japanese and international economies : an international journal ; JJIE 1 Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 1 University of Regensburg Working Papers in Business, Economics and Management Information Systems 1 Working Paper 1 Working Papers / Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 Working paper 1
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Source
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ECONIS (ZBW) 13 RePEc 7 EconStor 3
Showing 1 - 10 of 23
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Multivariate fractional components analysis
Hartl, Tobias; Jucknewitz, Roland - In: Journal of financial econometrics 21 (2023) 3, pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020
Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...
Persistent link: https://www.econbiz.de/10012654472
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Multivariate fractional components analysis
Hartl, Tobias; Weigand, Roland - 2019
Persistent link: https://www.econbiz.de/10011962831
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Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
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