Time-Series Models

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
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Generalized Autoregressive Score Models for Realized Covariance Matrices
Probability Distributions for Realized Covariance Measures
Realized covariance measures (RCs) are an essential input to assess the risks involved in different investment allocations and it is …
Michael Stollenwerk
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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
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Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices
We propose a new dynamic principal component CAW model (DPC-CAW) for time-series of high-dimensional realized covariance matrices of …
Bastian Gribisch, Michael Stollenwerk
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