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Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

Persistent link: https://www.econbiz.de/10014434629

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

Persistent link: https://www.econbiz.de/10003516408

Testing for multiple-period predictability between serially dependent time series

Heaton, Christopher - In: International journal of forecasting 31 (2015) 3, pp. 587-597

Persistent link: https://www.econbiz.de/10011474421

Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The most suitable dynamic dependence model in …

Persistent link: https://www.econbiz.de/10011344180

Forecasting covariance matrices : a mixed approach

Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417

Persistent link: https://www.econbiz.de/10011589016

Fractionally integrated Log-GARCH with application to value at risk and expected shortfall

Feng, Yuanhua; Beran, Jan; Letmathe, Sebastian; Ghosh, … - 2020

Persistent link: https://www.econbiz.de/10012508904

Nowcasting sales growth of manufacturing companies in India

Sanyal, Anirban; Das, Abhiman - In: Applied economics 50 (2018) 5, pp. 510-526

Persistent link: https://www.econbiz.de/10011847016

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Persistent link: https://www.econbiz.de/10014322165

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...

Persistent link: https://www.econbiz.de/10015064180