Modelling and forecasting multivariate realized volatility
| dc.contributor.author | Halbleib, Roxana | |
| dc.contributor.author | Voev, Valeri | deu |
| dc.date.accessioned | 2014-09-23T08:57:26Z | deu |
| dc.date.available | 2014-09-23T08:57:26Z | deu |
| dc.date.issued | 2011 | |
| dc.description.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. | eng |
| dc.description.version | published | |
| dc.identifier.citation | Journal of applied econometrics ; 26 (2011), 6. - S. 922-947 | deu |
| dc.identifier.doi | 10.1002/jae.1152 | deu |
| dc.identifier.ppn | 414777700 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/29010 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2014-09-23 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject.ddc | 330 | deu |
| dc.title | Modelling and forecasting multivariate realized volatility | eng |
| dc.type | JOURNAL_ARTICLE | deu |
| dspace.entity.type | Publication | |
| kops.citation.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}
} | |
| kops.citation.iso690 | CHIRIAC, Roxana, Valeri VOEV, 2011. Modelling and forecasting multivariate realized volatility. In: Journal of Applied Econometrics. 2011, 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152 | deu |
| kops.citation.iso690 | CHIRIAC, Roxana, Valeri VOEV, 2011. Modelling and forecasting multivariate realized volatility. In: Journal of Applied Econometrics. 2011, 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152 | eng |
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| kops.sourcefield.plain | Journal of Applied Econometrics. 2011, 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152 | deu |
| kops.sourcefield.plain | Journal of Applied Econometrics. 2011, 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152 | eng |
| kops.submitter.email | clarissa.piroscia@uni-konstanz.de | deu |
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