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Razzak, Weshah A. - In: Applied economics 45 (2013) 22/24, pp. 3305-3315

Persistent link: https://www.econbiz.de/10010345431

A Test of Covariance Matrix Forecasting Methods

Zakamulin, Valeriy - 2019

Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track...

Persistent link: https://www.econbiz.de/10012904973

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

Bonato, M.; Caporin, Massimiliano; Ranaldo, Angelo - In: The European journal of finance 18 (2012) 9/10, pp. 761-774

Persistent link: https://www.econbiz.de/10009691781

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

Obtaining and predicting the bounds of realized correlations

Grossmass, Rachel Lidan - In: Swiss journal of economics and statistics 150 (2014) 3, pp. 191-226

This paper argues that the inherent data problems make precise point identification of realized correlation difficult … robust approach to inference especially when the realized correlation is used for estimating other risk measures. We forecast … find that the bounds provide good predictive coverage of the realized correlation for both 1- and 10-step forecasts even in …

Persistent link: https://www.econbiz.de/10010469921

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

A multivariate Kernel approach to forecasting the variance covariance of stock market returns

Becker, Ralf; Clements, Adam; O'Neill, Robert - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27

This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

Persistent link: https://www.econbiz.de/10011823257

DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations

Bauwens, Luc; Xu, Yongdeng - 2019

Persistent link: https://www.econbiz.de/10012215175

Exponential smoothing of realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam - In: Journal of empirical finance 53 (2019), pp. 222-237

Persistent link: https://www.econbiz.de/10012171651

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019

Persistent link: https://www.econbiz.de/10012064776