Similar Search Results

Shrinkage for Gaussian and t copulas in ultra-high dimensions

Anatolyev, Stanislav; Pyrlik, Vladimir - 2021

Persistent link: https://www.econbiz.de/10012618269

Copula shrinkage and portfolio allocation in ultra-high dimensions

Anatolyev, Stanislav; Pyrlik, Vladimir - In: Journal of economic dynamics & control 143 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013539522

Modeling forecasting realized covariance matrices with accounting for leverage

Anatolyev, Stanislav; Kobotaev, Nikita - 2015

Persistent link: https://www.econbiz.de/10010515358

Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage

Anatolyev, Stanislav - 2015

The existing dynamic models for realized covariance matrices do not account for an asymmetry with respect to price directions. We modify the recently proposed conditional autoregressive Wishart (CAW) model to allow for the leverage effect. In the conditional threshold autoregressive Wishart...

Persistent link: https://www.econbiz.de/10013028421

Modeling and forecasting realized covariance matrices with accounting for leverage

Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139

Persistent link: https://www.econbiz.de/10012038156

Unrestricted, restricted, and regularized models for forecasting multivariate volatility

Anatolyev, Stanislav; Staněk, Filip - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 199-218

Persistent link: https://www.econbiz.de/10014288890