Modelling and forecasting multivariate realized volatility

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2011
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Voev, Valeri
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Journal of Applied Econometrics. 2011, 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152
Zusammenfassung

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.

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ISO 690CHIRIAC, 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
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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