In this paper we analyze a multivariate non-stationary regression model empirically. With the knowledge about unconditional heteroscedasticty of financial returns, based on univariate studies and a congruent paradigm in Gürtler and Rauh (2009), we test for a time-varying covariance structure...

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for...

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

In some statistical process control applications, the combination of both variable and attribute quality characteristics which are correlated represents the quality of the product or the process. In such processes, identification the time of manifesting the out-of-control states can help the...

Let X1; : : : ;Xn be i.i.d. sample in Rp with zero mean and the covariance matrix . The classic principal component analysis esti- mates the projector P J onto the direct sum of some eigenspaces of by its empirical counterpart bPJ . Recent papers [20, 23] investigate the asymptotic distribution...

The problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as two-multiple convolution of covariant tensor of the covariance matrix and contravariant vector of weights. By means of reduction of covariance matrix to the diagonal form, the...

Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year, risen continuously. As of February 2021, there are more than...

We investigate portfolio selection performance as in Markowitz by evaluating variance matrix estimation criteria in the currency market. This study challenges theoretically rigorous shrinkage covariance estimators using multiple evaluation metrics: systematic loss function, risk profile of...

In this paper, we have considered three important variables concerning COVID-19 viz., (i) the number of daily new cases, (ii) the number of daily total cases, and (iii) the number of daily deaths, and proposed a modelling procedure, so that the nature of trend in these series could be studied...