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This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of … positive definiteness of covariance matrices without imposing parametric restrictions. Simulated Bayesian parameter estimates … as well as positive definite (co)variance forecasts are obtained using Markov Chain Monte Carlo (MCMC) methods. An …
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Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this dissertation, I analyze determinants of conditional correlations. Specifically, I propose the generalized DCCX model that facilitates the analysis of the effects of exogenous...
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