Forecasting covariance matrices : a mixed frequency approach

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HALBLEIB, Roxana, Valeri VOEV, 2012. Forecasting covariance matrices : a mixed frequency approach. Available under: doi: 10.2139/ssrn.1740587

@techreport{Halbleib2012Forec-29007, title={Forecasting covariance matrices : a mixed frequency approach}, year={2012}, doi={10.2139/ssrn.1740587}, author={Halbleib, Roxana and Voev, Valeri} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <bibo:uri rdf:resource=""/> <dcterms:rights rdf:resource=""/> <dcterms:abstract xml:lang="eng">In this paper we introduce a new method of forecasting covariance matrices of large dimensions by exploiting the theoretical and empirical potential of using mixed-frequency sampled data. The idea is to use high-frequency (intraday) data to model and forecast daily realized volatilities combined with low-frequency (daily) data as input to the correlation model. The main theoretical contribution of the paper is to derive statistical and economic conditions, which ensure that a mixed-frequency forecast has a smaller mean squared forecast error than a similar pure low-frequency or pure high-frequency specification. The conditions are very general and do not rely on distributional assumptions of the forecasting errors or on a particular model specification. Moreover, we provide empirical evidence that, besides overcoming the computational burden of pure high-frequency specifications, the mixed-frequency forecasts are particularly useful in turbulent financial periods, such as the previous financial crisis and always outperforms the pure low-frequency specifications.</dcterms:abstract> <dcterms:issued>2012</dcterms:issued> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:title>Forecasting covariance matrices : a mixed frequency approach</dcterms:title> <dc:contributor>Halbleib, Roxana</dc:contributor> <dspace:hasBitstream rdf:resource=""/> <dcterms:available rdf:datatype="">2014-09-22T14:09:13Z</dcterms:available> <dcterms:hasPart rdf:resource=""/> <dspace:isPartOfCollection rdf:resource=""/> <dc:creator>Voev, Valeri</dc:creator> <dc:date rdf:datatype="">2014-09-22T14:09:13Z</dc:date> <dcterms:isPartOf rdf:resource=""/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dspace:isPartOfCollection rdf:resource=""/> <dc:rights>terms-of-use</dc:rights> <dc:contributor>Voev, Valeri</dc:contributor> <dcterms:isPartOf rdf:resource=""/> <dc:creator>Halbleib, Roxana</dc:creator> <dc:language>eng</dc:language> </rdf:Description> </rdf:RDF>

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