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Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/32175
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Voev, Valeri | | en_US |
| dc.date.accessioned | | 2007-04-26 | | en_US |
| dc.date.accessioned | | 2010-05-14T12:00:40Z | | - |
| dc.date.available | | 2010-05-14T12:00:40Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/32175 | | - |
| dc.description.abstract | | 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CoFE Konstanz | | en_US |
| dc.relation.ispartofseries | | Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,01 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Varianzanalyse | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Dynamic modeling of large dimensional covariance matrices | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 527906778 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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