Publikation:

Modelling and Forecasting Multivariate Realized Volatility

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Modelling_Chiriac.pdf
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Datum

2008

Autor:innen

Voev, Valeri

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Open Access-Veröffentlichung
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Zusammenfassung

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model s forecasts second-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk-averse investor, regardless of the type of utility function, would be better-off using our model.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Forecasting, Fractional integration, Stochastic dominance, Portfolio optimization, Realized covariance

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ISO 690CHIRIAC, Roxana, Valeri VOEV, 2008. Modelling and Forecasting Multivariate Realized Volatility
BibTex
@techreport{Chiriac2008Model-12161,
  year={2008},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Modelling and Forecasting Multivariate Realized Volatility},
  number={2008/06},
  author={Chiriac, Roxana and Voev, Valeri}
}
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