Publikation:

Dynamic Modelling and Forecasting of Realized Covariance Matrices

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Chiriac_opus-105743.pdf
Chiriac_opus-105743.pdfGröße: 362.92 KBDownloads: 415

Datum

2007

Autor:innen

Voev, Valeri

Herausgeber:innen

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ISBN

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URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-105743
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Internationale Patentnummer

Link zur Lizenz
Urheberrechtlich geschützt

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Open Access-Veröffentlichung
Open Access Green

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Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published

Erschienen in

Zusammenfassung

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The model is based on a multivariate, fractionally integrated Autoregressive Moving Average (ARMA) process for the elements of the Cholesky factors of the observed matrix series. This approach allows for joint modelling of the whole covariance matrix and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions on the model. The model is particularly suited to capture the long memory, typically observed in volatility processes of financial assets. We describe the forecasting procedure and provide an empirical application.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Forecasting, Fractional integration, Long memory processes, Realized covariance

Konferenz

Rezension
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Forschungsvorhaben

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ISO 690CHIRIAC, Roxana, Valeri VOEV, 2007. Dynamic Modelling and Forecasting of Realized Covariance Matrices
BibTex
@techreport{Chiriac2007Dynam-1894,
  year={2007},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Dynamic Modelling and Forecasting of Realized Covariance Matrices},
  number={2007/},
  author={Chiriac, Roxana and Voev, Valeri},
  note={Link zur Originalveröffentlichung: <br /> http://www.eea-esem.com/files/papers/EEA-ESEM/2008/975/Chiriac_Voev.pdf}
}
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Kommentar zur Publikation

Link zur Originalveröffentlichung:
http://www.eea-esem.com/files/papers/EEA-ESEM/2008/975/Chiriac_Voev.pdf
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Corresponding Authors der Uni Konstanz vorhanden
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