MODELLING AND FORECASTING MULTIVARIATE REALIZED VOLATILITY
MODELLING AND FORECASTING MULTIVARIATE REALIZED VOLATILITY
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DOI：
10.1002/jae.1152
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发表时间：
2011-09-01
影响因子：
2.1
通讯作者：
Voev, Valeri
中科院分区：
文献类型：
--
作者：
Chiriac, Roxana;Voev, Valeri
本文提出了一种基于分数积分过程的已实现协方差矩阵的动态建模和预测方法。该方法允许灵活的依赖模式，并自动保证预测的肯定性。我们提供了该模型的经验应用，表明它优于现有文献中的其他方法，无论是在统计精度方面，还是在经典投资决策设置中提供优越的均值-方差权衡方面。版权。(C) 2010 John Wiley & Sons, Ltd。
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. Copyright. (C) 2010 John Wiley & Sons, Ltd.