51 citations · 55 across the 5 of their papers we have counts for
5 papers
Random processes for long-term market simulations
Gilles Zumbach
For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decade…
Inference on multivariate ARCH processes with large sizes
Gilles Zumbach
The covariance matrix is formulated in the framework of a linear multivariate ARCH process with long memory, where the natural cross product structure of the covariance is generali…
The empirical properties of large covariance matrices
Gilles Zumbach
The salient properties of large empirical covariance and correlation matrices are studied for three datasets of size 54, 55 and 330. The covariance is defined as a simple cross pro…
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Gilles Zumbach
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (cor…
Heterogeneous volatility cascade in financial markets
Gilles Zumbach, Paul Lynch
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation betwee…