Similar Search Results

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

Persistent link: https://www.econbiz.de/10013235022

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Aielli, Gian Piero - 2011

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

Persistent link: https://www.econbiz.de/10013125314

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

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

Persistent link: https://www.econbiz.de/10010344500

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

correlation model to have been developed to date, namely the widely used Dynamic Conditional Correlation (DCC) model. Dynamic …

Persistent link: https://www.econbiz.de/10012022209

How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?

Steiner, Andreas - 2022

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Persistent link: https://www.econbiz.de/10014236566

The Properties of Realized Correlation : Evidence from the French, German and Greek Equity Markets

Vortelinos, Dimitrios I. - 2015

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …

Persistent link: https://www.econbiz.de/10013029288

On Heteroskedasticity and Regimes in Volatility Forecasting

Cipollini, Fabrizio - 2017

In this paper we discuss some deep implications of the recent paper by Bollerslev et al. (2016) (BPQ). In BPQ the volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in realized variance. We show that the model is...

Persistent link: https://www.econbiz.de/10012947755

Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Flint, Emlyn James - 2019

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...

Persistent link: https://www.econbiz.de/10012893987

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

Casas, Isabel - 2018

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...

Persistent link: https://www.econbiz.de/10012925879

From Large to Vast : Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models

Hartkopf, Jan P. - 2021

We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to...

Persistent link: https://www.econbiz.de/10013246801