for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH … eigenvalues; a favored model is nonlinear shrinkage, derived from Random Matrix Theory (RMT). The present paper aims to marry … these two strands of literature in order to deliver improved estimation of large dynamic covariance matrices. …

recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this …

This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a … systems naturally generates auxiliary equilibria that can serve as building blocks for estimation. We use this insight to …

perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …