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Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - In: Journal of empirical finance 38 (2016), pp. 575-589

Persistent link: https://www.econbiz.de/10011663373

Some exact formulae for the constant correlation and diagonal M-GARCH models

Karanasos, Menelaos - 2000

Persistent link: https://www.econbiz.de/10001488572

Reactive global minimum variance portfolios with k-BAHC covariance cleaning

Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360

Persistent link: https://www.econbiz.de/10013532213

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Boudt, Kris - 2012

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

Persistent link: https://www.econbiz.de/10013115577

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

Higher moment connectedness of cryptocurrencies : a time-frequency approach

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 793-814

Persistent link: https://www.econbiz.de/10014380684

Do Conditional Covariance Estimates Generate Value?

Baltutis, Mindaugas - 2009

The success of modern portfolio theory critically depends on the use of reliable estimates of the covariance matrix of asset returns. Current statistical theory provides a variety of different models ranging from simple sample estimates to complex multivariate GARCH models to be used in...

Persistent link: https://www.econbiz.de/10013160186

Structural conditional correlation

Weber, Enzo - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 392-407

Persistent link: https://www.econbiz.de/10003997412

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

Bonato, M.; Caporin, Massimiliano; Ranaldo, Angelo - In: The European journal of finance 18 (2012) 9/10, pp. 761-774

Persistent link: https://www.econbiz.de/10009691781

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478