Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Danilo Vassallo"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4208974dab19daa48f0a39196e51cbe1
https://doi.org/10.2139/ssrn.4405492
https://doi.org/10.2139/ssrn.4405492
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term component, modeled
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d728cfa328e69e514a26e10c27c4490
http://arxiv.org/abs/1910.01407
http://arxiv.org/abs/1910.01407
We propose a class of score-driven realized covariance models where volatilities and correlations are separately estimated. We can thus combine univariate realized volatility models with a recently introduced class of score-driven realized covariance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ff82e9c54acacdef292fe559b6dc1c7
https://openaccess.city.ac.uk/id/eprint/25010/1/paper.pdf
https://openaccess.city.ac.uk/id/eprint/25010/1/paper.pdf
Publikováno v:
SSRN Electronic Journal.
We propose a class of score-driven realized covariance models where volatilities and correlations are separately estimated. We can thus combine univariate realized volatility models with a recently introduced class of score-driven realized covariance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ac43b874ff55e6269abd7e6dff84e091
https://doi.org/10.2139/ssrn.3305628
https://doi.org/10.2139/ssrn.3305628