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Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

Persistent link: https://www.econbiz.de/10013235022

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Aielli, Gian Piero - 2011

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

Persistent link: https://www.econbiz.de/10013125314

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Persistent link: https://www.econbiz.de/10010344500

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

correlation model to have been developed to date, namely the widely used Dynamic Conditional Correlation (DCC) model. Dynamic …

Persistent link: https://www.econbiz.de/10012022209

How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?

Steiner, Andreas - 2022

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Persistent link: https://www.econbiz.de/10014236566

The Properties of Realized Correlation : Evidence from the French, German and Greek Equity Markets

Vortelinos, Dimitrios I. - 2015

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …

Persistent link: https://www.econbiz.de/10013029288

Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'

Bauwens, Luc - 2017

This Appendix contains details on several technical points and additional empirical results. Sections in this Appendix are indexed by letters and formulas/tables/figures by a letter followed by a number (e.g. A.1). Sections and formulas/tables/figures of the paper are referenced by numbers. In...

Persistent link: https://www.econbiz.de/10012956778

Modeling the Dependence of Conditional Correlations on Market Volatility

Bauwens, Luc - 2017

Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have shown that the market volatility is a major determinant of the correlations. We extend some models to include explicitly the dependence of...

Persistent link: https://www.econbiz.de/10012956782

Realized semicovariances : looking for signs of direction inside the covariance matrix

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

Persistent link: https://www.econbiz.de/10012116691

Package CovRegpy : Regularised Covariance Regression and Forecasting in Python

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …

Persistent link: https://www.econbiz.de/10014253907