Modelling Realized Covariances and Returns

Citations

Cited by:

1. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
   • Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
   • Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
2. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
   • Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
3. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
   • BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Discussion Papers CORE 2016001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Luc Bauwens & Manuela Braione & Giuseppe Storti, 2020. "A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices," Working Papers 3_234, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno, revised Jul 2020.
   • Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Reprints CORE 2812, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
4. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
5. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
6. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
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   • Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
8. Oh, Dong Hwan & Patton, Andrew J., 2016. "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
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9. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
10. Yuta Yamauchi & Yasuhiro Omori, 2018. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations," Papers 1809.09928, arXiv.org, revised Mar 2019.
11. Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
    • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
    • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
12. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
13. Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
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15. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
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16. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
17. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
18. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    • Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
19. Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
20. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
21. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
22. Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
    • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
    • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
23. Shirota, Shinichiro & Omori, Yasuhiro & F. Lopes, Hedibert. & Piao, Haixiang, 2017. "Cholesky realized stochastic volatility model," Econometrics and Statistics, Elsevier, vol. 3(C), pages 34-59.
    • Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo.
    • Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-1019, CIRJE, Faculty of Economics, University of Tokyo.
24. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
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25. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
26. Andrea BUCCI, 2017. "Forecasting Realized Volatility A Review," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
    • Bucci, Andrea, 2017. "Forecasting realized volatility: a review," MPRA Paper 83232, University Library of Munich, Germany.
27. Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
28. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
29. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
30. Jan Patrick Hartkopf, 2023. "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, vol. 64(1), pages 393-436, January.
31. Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016. "Matrix exponential stochastic volatility with cross leverage," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.
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    • Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2013. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-904, CIRJE, Faculty of Economics, University of Tokyo.
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32. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
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33. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    • Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020. "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive 2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
34. Yuta Yamauchi & Yasuhiro Omori, 2016. "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations ," CIRJE F-Series CIRJE-F-1029, CIRJE, Faculty of Economics, University of Tokyo.
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47. Gribisch, Bastian & Hartkopf, Jan Patrick, 2023. "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, vol. 235(1), pages 43-64.
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53. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
54. Roxana Halbleib & Valeri Voev, 2016. "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 383-417.
55. Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
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