Modelling and forecasting multivariate realized volatility

Chiriac, Roxana; Voev, Valeri

Modelling and forecasting multivariate realized volatility

Files

Chiriac_290107.pdf(221.2 KB)

Date

2011

Authors

Chiriac, Roxana

Voev, Valeri

Publication type

Journal article

Published in

Journal of Applied Econometrics ; 26 (2011), 6. - pp. 922-947. - ISSN 0883-7252. - eISSN 1099-1255

Abstract

This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical application of the model, which shows that it outperforms other approaches in the extant literature, both in terms of statistical precision as well as in terms of providing a superior mean-variance trade-off in a classical investment decision setting.

Subject (DDC)

330 Economics

Cite This

ISO 690

CHIRIAC, Roxana, Valeri VOEV, 2011. Modelling and forecasting multivariate realized volatility. In: Journal of Applied Econometrics. 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152

BibTex

@article{Chiriac2011Model-29010,
  year={2011},
  doi={10.1002/jae.1152},
  title={Modelling and forecasting multivariate realized volatility},
  number={6},
  volume={26},
  issn={0883-7252},
  journal={Journal of Applied Econometrics},
  pages={922--947},
  author={Chiriac, Roxana and Voev, Valeri}
}

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Bibliography of Konstanz

Yes