Modelling and forecasting multivariate realized volatility

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:226f1391d5ac1c3bed18a04d283c6d31

CHIRIAC, Roxana, Valeri VOEV, 2011. Modelling and forecasting multivariate realized volatility. In: Journal of Applied Econometrics. 26(6), pp. 922-947. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.1152

@article{Chiriac2011Model-29010, title={Modelling and forecasting multivariate realized volatility}, year={2011}, doi={10.1002/jae.1152}, number={6}, volume={26}, issn={0883-7252}, journal={Journal of Applied Econometrics}, pages={922--947}, author={Chiriac, Roxana and Voev, Valeri} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/29010"> <dcterms:title>Modelling and forecasting multivariate realized volatility</dcterms:title> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-09-23T08:57:26Z</dc:date> <dc:creator>Chiriac, Roxana</dc:creator> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dc:contributor>Voev, Valeri</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-09-23T08:57:26Z</dcterms:available> <dc:creator>Voev, Valeri</dc:creator> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dcterms:abstract xml:lang="eng">This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical application of the model, which shows that it outperforms other approaches in the extant literature, both in terms of statistical precision as well as in terms of providing a superior mean-variance trade-off in a classical investment decision setting.</dcterms:abstract> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/29010"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/52"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29010/2/Chiriac_290107.pdf"/> <dc:language>eng</dc:language> <dc:rights>deposit-license</dc:rights> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/52"/> <dc:contributor>Chiriac, Roxana</dc:contributor> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29010/2/Chiriac_290107.pdf"/> <dcterms:bibliographicCitation>Journal of applied econometrics ; 26 (2011), 6. - S. 922-947</dcterms:bibliographicCitation> <dcterms:issued>2011</dcterms:issued> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

Chiriac_290107.pdf 589

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto