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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
Persistent link: https://www.econbiz.de/10003909174
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given … about multivariate models of time-varying conditional covariance and correlation models. …
Persistent link: https://www.econbiz.de/10010250536
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Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121
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Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Bibinger, Markus - 2016
novel insights into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow …
Persistent link: https://www.econbiz.de/10013005821
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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …
Persistent link: https://www.econbiz.de/10013100621
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A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data : An Application to High-Frequency Covariance Dynamics
Buccheri, Giuseppe - 2020
estimation of the covariances if traditional methods for low-frequency data are employed. We propose to model intraday log … microstructure noise is taken into account, (iii) estimation is performed by standard maximum likelihood. Our empirical analysis …
Persistent link: https://www.econbiz.de/10012854692
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488