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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...

Persistent link: https://www.econbiz.de/10010250536

Ten things you should know about DCC

Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009725302

Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010348324

Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010359780

A time-varying perspective on the CAPM and downside betas

Tsai, Hsiu-Jung; Chen, Ming Chieh; Yang, Chih-Yuan - In: International review of economics & finance : IREF 29 (2014), pp. 440-454

Persistent link: https://www.econbiz.de/10010432321

Analytical gradients of dynamic conditional correlation models

Caporin, Massimiliano; Lucchetti, Riccardo; Palomba, Giulio - In: Journal of risk and financial management : JRFM 13 (2020) 3/49, pp. 1-21

We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC …

Persistent link: https://www.econbiz.de/10012174123

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020 - Revised version

that the DCC-NL estimator results in risk reduction and efficiency increase in large portfolios as long as a small amount … of leverage is allowed, whereas tightening the leverage constraint often hurts a DCC-NL portfolio. …

Persistent link: https://www.econbiz.de/10012154193

Financial stress and equilibrium dynamics in term interbank funding markets

Yoldas, Emre; Senyuz, Zeynep - In: Journal of financial stability 34 (2018), pp. 136-149

Persistent link: https://www.econbiz.de/10012156801

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … substantial upgrade upon linear shrinkage technology); although 130/30 DCC-NL comes a close second. This is true both in the "pure …

Persistent link: https://www.econbiz.de/10012030060

MGARCH models: trade-off between feasibility and flexibility

Almeida, Daniel de; Hotta, Luiz K.; Ruiz, Esther - In: International journal of forecasting 34 (2018) 1, pp. 45-63

Persistent link: https://www.econbiz.de/10012030840