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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Halunga, Andreea G.; Savva, Christos S. - In: Econometric reviews 38 (2019) 6, pp. 660-678
Persistent link: https://www.econbiz.de/10012181343
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Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
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Performance and conservatism of monthly FHS VaR : an international investigation
Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-333
Persistent link: https://www.econbiz.de/10009272652
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Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
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Forecasting covariance matrices : a mixed approach
Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417
Persistent link: https://www.econbiz.de/10011589016