Realized Covariance Matrices

Generalized Autoregressive Score Models for Realized Covariance Matrices
Realized covariance matrices (RCs) are an important input to asses the risks involved in different investment allocations and it is …
Michael Stollenwerk
PDF Code Slides
Generalized Autoregressive Score Models for Realized Covariance Matrices
The Multivariate MF2 Realized GARCH Model
We extend the MF2 GARCH model by Engle and Conrad (2022) to a multivariate setting and use high-frequency based realized covariance …
Anne Opschoor, Michael Stollenwerk
Noncentral Skewed HEAVY Model for High-Dimensional Realized Returns and Covariances Matrices
We combine the Non-Central matrix-F distribution assumed for the time-series of realized covariance matrices with a Non-Central …
Taras Bodnar, Yarema Okhrin, Nestor Parolya, Michael Stollenwerk
PDF Code Slides