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DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...
Persistent link: https://www.econbiz.de/10012009351
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …
Persistent link: https://www.econbiz.de/10014434629
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A new approach for detecting shifts in forecast accuracy
Chiu, Ching Wai Jeremy; Hayes, Simon; Kapetanios, George; … - 2018
multivariate system. The covariance between forecast errors for different series, though often overlooked in the forecasting …
Persistent link: https://www.econbiz.de/10011928906
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Exponential high-frequency-based-volatility (EHEAVY) models
Xu, Yongdeng - 2022
. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in …
Persistent link: https://www.econbiz.de/10013177995