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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
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Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
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Estimating realistic implied correlation matrix from option prices
Numpacharoen, Kawee; Numpacharoen, Nattachai - In: Journal of mathematical finance 3 (2013) 4, pp. 401-406
Persistent link: https://www.econbiz.de/10010239524
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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Analysis of cross-correlations in emerging markets using random matrix theory
Urama, Thomas Chinwe; Ezepue, Patrick Oseloka; Nnanwa, … - In: Journal of mathematical finance 7 (2017) 2, pp. 291-307
Persistent link: https://www.econbiz.de/10011673890
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Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509995
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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
Barndorff-Nielsen, Ole E. (contributor);  … - 2000 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001533130