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...

In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...

In this paper we adapt the empirical similarity (ES) concept for the purpose of combining volatility forecasts originating from different models. Our ES approach is suitable for situations where a decision maker refrains from evaluating success probabilities of forecasting models but prefers to...

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...

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...

This paper proposes a multivariate shrinkage estimator for the optimal portfolio weights. The estimated classical Markowitz weights are shrunk to the deterministic target portfolio weights. Assuming log asset returns to be i.i.d. Gaussian, explicit solutions are derived for the optimal shrinkage...

How to quantify estimation risk is important in portfolio selection. For this purpose we derive the flexible shrinkage estimator for the optimal portfolio weights, which allows dynamic adjustments of model structure. Our estimator is based on grouping the assets in order to capture...