Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

Chiriac, Roxana; Voev, Valeri

Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

Dateien

Halbleib_290126.pdfGröße: 241.71 KBDownloads: 620

Datum

2011

Autor:innen

Chiriac, Roxana

Voev, Valeri

URI (zitierfähiger Link)

http://nbn-resolving.de/urn:nbn:de:bsz:352-290126

Link zur Lizenz

Urheberrechtlich geschützt

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften
Zukunftskolleg

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Jahrbücher für Nationalökonomie und Statistik. 2011, 231(1), pp. 134-152. ISSN 0021-4027

Zusammenfassung

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates positive definite, but biased covariance forecasts. In this paper, we provide empirical evidence that parsimonious versions of the model generate the best covariance forecasts in the absence of bias correction. Moreover, we show by means of stochastic dominance tests that any risk averse investor, regardless of the type of utility function or return distribution, would be better-off from using this model than from using some standard approaches.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Forecasting, fractional integration, stochastic dominance, portfolio optimization, realized covariance

Zitieren

ISO 690

CHIRIAC, Roxana, Valeri VOEV, 2011. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors. In: Jahrbücher für Nationalökonomie und Statistik. 2011, 231(1), pp. 134-152. ISSN 0021-4027

BibTex

@article{Chiriac2011Forec-29012,
  year={2011},
  title={Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors},
  number={1},
  volume={231},
  issn={0021-4027},
  journal={Jahrbücher für Nationalökonomie und Statistik},
  pages={134--152},
  author={Chiriac, Roxana and Voev, Valeri}
}

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Universitätsbibliographie

Ja