dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …

+ and the realized correlation matrix Rt+. We construct a deep-learning long short-term memory (LSTM) model to predict Dt …

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

This paper argues that the inherent data problems make precise point identification of realized correlation difficult … robust approach to inference especially when the realized correlation is used for estimating other risk measures. We forecast … find that the bounds provide good predictive coverage of the realized correlation for both 1- and 10-step forecasts even in …

applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …