3 citations · 4 across the 6 of their papers we have counts for
6 papers
Cluster GARCH
Chen Tong, Peter Reinhard Hansen, Ilya Archakov
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it…
Convolution-t Distributions
Peter Reinhard Hansen, Chen Tong
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distribut…
Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas
Peter Reinhard Hansen, Yiyao Luo
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is…
Characterizing Correlation Matrices that Admit a Clustered Factor Representation
Chen Tong, Peter Reinhard Hansen
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices. Our results reveal that the CF model…
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
Peter Reinhard Hansen, Zhuo Huang, Chen Tong +1
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by…
Option Pricing with State-dependent Pricing Kernel
Chen Tong, Peter Reinhard Hansen, Zhuo Huang
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework. This leads to a novel pricing kernel with a state-dependent…