Common volatility and correlation clustering in asset returns

We present a new multivariate framework for the estimation and forecasting of the evolution of financial asset conditional correlations. Our approach assumes return innovations with time dependent covariances. A Cholesky decomposition of the asset covariance matrix, with elements written as sines an...

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Veröffentlicht in:	European journal of operational research 2007-11, Vol.182 (3), p.1263-1284
1. Verfasser:	Christodoulakis, George A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Common volatility Correlation Correlation analysis Exact sciences and technology Forecasting Operational research and scientific management Operational research. Management science Persistence Portfolio theory Predictability Return on assets Studies Time variation Volatility
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