Dynamic Modelling of Large Dimensional Covariance Matrices

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VOEV, Valeri, 2007. Dynamic Modelling of Large Dimensional Covariance Matrices

@techreport{Voev2007Dynam-12018, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Dynamic Modelling of Large Dimensional Covariance Matrices}, year={2007}, number={2007/01}, author={Voev, Valeri} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12018"> <dcterms:title>Dynamic Modelling of Large Dimensional Covariance Matrices</dcterms:title> <dc:contributor>Voev, Valeri</dc:contributor> <dc:format>application/pdf</dc:format> <dcterms:abstract xml:lang="eng">Modelling and forecasting the covariance of financial return series has always been a challenge due to the so-called "curse of dimensionality". This paper proposes a methodology that is applicable in large dimensional cases and is based on a time series of realized covariance matrices. Some solutions are also presented to the problem of non-positive definite forecasts. This methodology is then compared to some traditional models on the basis of its forecasting performance employing Diebold-Mariano tests. We show that our approach is better suited to capture the dynamic features of volatilities and covolatilities compared to the sample covariance based models.</dcterms:abstract> <dcterms:rights rdf:resource="https://creativecommons.org/licenses/by-nc-nd/2.0/legalcode"/> <dc:creator>Voev, Valeri</dc:creator> <dcterms:issued>2007</dcterms:issued> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:10Z</dcterms:available> <dc:rights>deposit-license</dc:rights> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:10Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12018"/> <dc:language>eng</dc:language> </rdf:Description> </rdf:RDF>

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