4 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.ST2009★ 4 cited
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…
q-fin.ST2009
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…
q-fin.PR2009
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…