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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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Factor High-Frequency Based Volatility (HEAVY) Models
Sheppard, Kevin - Department of Economics, Oxford University - 2014
 We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and …
Persistent link: https://www.econbiz.de/10011004389
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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
Persistent link: https://www.econbiz.de/10012432948
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Asymmetric models for realized covariances
Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024
Persistent link: https://www.econbiz.de/10015072281
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Forecasting realized (co)variances with a block structure Wishart autoregressive model
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012 - Current Draft: November 2008
The increased availability of high-frequency data provides new tools for forecasting of variances and covariances … Corsi (2004). We present an empirical application based on variance forecasting and risk evaluation of a portfolio of two US …
Persistent link: https://www.econbiz.de/10010407673
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...
Persistent link: https://www.econbiz.de/10012170580
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Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds
Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173
Persistent link: https://www.econbiz.de/10012798505
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Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh; Chowdhury, Biplob - 2020
Persistent link: https://www.econbiz.de/10012317084