This paper investigates whether the short term interest rate may explain the movements observed in the conditional second moments of asset returns. The theoretical connections between these seemingly unrelated quantities are studied within the C-CAPM framework. Under the assumption that the...

This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same...

This paper investigates whether positive and negative returns share the same dynamic volatility process. The well established stylized facts on volatility persistence and asymmetric effects are re-examined in light of such dichotomy. To analyze the dynamics of up and down volatilities estimated...

The bootstrap of test statistics requires the re-estimation of the model's parameters for each bootstrap sample. When parameter estimates are not available in closed form, this procedure becomes computationally demanding as each replication requires the numerical optimization of an objective...

This paper investigates whether the short term interest rate may explain the movements observed in the conditional second moments of asset returns. The theoretical connections between these seemingly unrelated quantities are studied within the C-CAPM framework. Under the assumption that the...

The paper introduces the HD(1), a Markovian process of order one with reversion rates that are faster the farther the process is from equilibrium. The aHD(1) approximation is introduced to allow for an estimation-calibration procedure based on available ARMA routines. Critical values of unit...

We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free specifications in terms of weights forecasts and portfolio...

This paper presents a new approach to the modeling of the conditional correlation matrix in the multivariate GARCH framework which consists in breaking it into the product of a sequence of matrices with desirable characteristics. This feature will allow for a multi step estimation procedure,...