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We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data. Assets are first grouped according to liquidity. Using the multivariate realized kernel estimator of Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a), the covariance...
Persistent link: https://www.econbiz.de/10013150590
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …
Persistent link: https://www.econbiz.de/10013459316
this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …
Persistent link: https://www.econbiz.de/10014281494
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144
&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
Persistent link: https://www.econbiz.de/10003909174
impact of past values of realized correlation on future values is at least 10% higher when stock returns are negative rather … than positive. This finding supports the conjecture that correlation between stock returns tends to be higher when stock …
Persistent link: https://www.econbiz.de/10012843003
The estimation of the covariances of high-frequency asset prices is problematic because of asynchronous trading and …
Persistent link: https://www.econbiz.de/10012841029
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …
Persistent link: https://www.econbiz.de/10011568279