-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions … different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

) forecast performance. We analyse Swiss and US stock and bond data and find that optimal lookback window sizes exist, contrary …

their occurrence raises correlation and persistence among assets. Our application to 20 Dow Jones stocks, shows that common …

this research, we compare the performance of risk-based portfolios for several estimation methods of covariance matrices in … the Japanese stock market. In addition, we propose a highly accurate estimation method called cDCC-NLS, which incorporates … nonlinear shrinkage into the cDCC-GARCH model. The results confirm that (1) the cDCC-NLS method shows the best estimation …

that characterize long-term correlation patterns. We associate such term behavior with low-frequency economic variables … improves both the empirical fit of equity correlations in the U.S. and correlation forecasts at long horizons …