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Found 13 papers, 1 papers with code
Cluster GARCH
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems.
Convolution-t Distributions
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions.
Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent.
Characterizing Correlation Matrices that Admit a Clustered Factor Representation
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices.
A New Method for Generating Random Correlation Matrices
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion.
Option Pricing with Time-Varying Volatility Risk Aversion
We estimate the model using S&P 500 returns, the VIX, and option prices, and find that dynamic volatility risk aversion leads to a substantial reduction in VIX and option pricing errors.
Option Pricing with State-dependent Pricing Kernel
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework.
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
The volatility shock endows the exponentially affine SDF with a compensation for volatility risk.
Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants
We propose a simple dynamic model for estimating the relative contagiousness of two virus variants.
Periodicity in Cryptocurrency Volatility and Liquidity
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2).
A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
We obtain a canonical representation for block matrices.
A New Parametrization of Correlation Matrices
We introduce a novel parametrization of the correlation matrix.
A Multivariate Realized GARCH Model
We propose a novel class of multivariate GARCH models that utilize realized measures of volatilities and correlations.
