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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39326
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hautsch, Nikolaus | | en_US |
| dc.contributor.author | | Kyj, Lada M. | | en_US |
| dc.contributor.author | | Oomen, Roel C.A. | | en_US |
| dc.date.accessioned | | 2009-11-05 | | en_US |
| dc.date.accessioned | | 2010-08-26T11:57:25Z | | - |
| dc.date.available | | 2010-08-26T11:57:25Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/39326 | | - |
| dc.description.abstract | | We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven grouping of assets of similar trading frequency ensures the reduction of data loss due to refresh time sampling. In an extensive simulation study mimicking the empirical features of the S&P 1500 universe we show that the 'RnB' estimator yields efficiency gains and outperforms competing kernel estimators for varying liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S&P 500 index confirms the simulation results. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2009,049 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | covariance estimation | | en_US |
| dc.subject.keyword | | blocking | | en_US |
| dc.subject.keyword | | realized kernel | | en_US |
| dc.subject.keyword | | regularization | | en_US |
| dc.subject.keyword | | microstructure | | en_US |
| dc.subject.keyword | | asynchronous trading | | en_US |
| dc.subject.stw | | Varianzanalyse | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Core | | en_US |
| dc.subject.stw | | Multivariate Analyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Wertpapierhandel | | en_US |
| dc.subject.stw | | Aktienmarkt | | en_US |
| dc.subject.stw | | Mikrostrukturanalyse | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | A blocking and regularization approach to high dimensional realized covariance estimation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 612287025 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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