Modelling Realized Covariances
Modelling Realized Covariances
复制标题
建模实现的协方差
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
J. Maheu
中科院分区：
文献类型：
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作者：
Xin Jin;J. Maheu
基于时变Wishart分布的最新研究成果，提出了一种新的已实现协方差矩阵的动态模型。规格可以链接到回报率的联合多变量模型的回报率和协方差动态，既容易估计和预测。基于半正定已实现核估计，利用高频日内价格构造了5只股票的已实现协方差矩阵。我们扩展了该模型，以捕捉强持久性RCOV属性。基于统计和经济指标的样本外表现表明了这一点的重要性。我们讨论了模型的哪些功能是必要的，以提供改进传统的多变量Gestival模型，只使用每日回报。
This paper proposes a new dynamic model of realized covariance (RCOV) matrices based on recent work in time-varying Wishart distributions. The specifications can be linked to returns for a joint multivariate model of returns and covariance dynamics that is both easy to estimate and forecast. Realized covariance matrices are constructed for 5 stocks using high-frequency intraday prices based on positive semi-definite realized kernel estimates. We extend the model to capture the strong persistence properties in RCOV. Out-of-sample performance based on statistical and economic metrics show the importance of this. We discuss which features of the model are necessary to provide improvements over a traditional multivariate GARCH model that only uses daily returns.
影响因子：
2.1
作者：
Chiriac, Roxana;Voev, Valeri
通讯作者：
Voev, Valeri