Similar Search Results

Forecasting comparison of long term component dynamic models for realized covariance matrices

Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134

Persistent link: https://www.econbiz.de/10011592738

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Comparing multivariate volatility forecasts by direct and indirect approaches

Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57

Persistent link: https://www.econbiz.de/10011799128

Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics : open access journal 7 (2019) 2/19, pp. 1-24

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...

Persistent link: https://www.econbiz.de/10012025822

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …

Persistent link: https://www.econbiz.de/10015064180

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model

Čech, František; Baruník, Jozef - In: Journal of forecasting 36 (2017) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10011729136