Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57367 
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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorKyj, Lada M.en
dc.contributor.authorMalec, Peteren
dc.date.accessioned2011-10-06-
dc.date.accessioned2012-04-20T17:09:32Z-
dc.date.available2012-04-20T17:09:32Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:hebis:30:3-228716en
dc.identifier.urihttp://hdl.handle.net/10419/57367-
dc.description.abstractThis paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown.en
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2011/24en
dc.subject.jelG11en
dc.subject.jelG17en
dc.subject.jelC58en
dc.subject.jelC14en
dc.subject.jelC38en
dc.subject.ddc330en
dc.subject.keywordSpectral Decompositionen
dc.subject.keywordMixing Frequenciesen
dc.subject.keywordFactor Modelen
dc.subject.keywordBlocked Realized Kernelen
dc.subject.keywordCovariance Predictionen
dc.subject.keywordPortfolio Optimizationen
dc.subject.stwPortfolio-Managementen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwKorrelationen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwTheorieen
dc.titleThe merit of high-frequency data in portfolio allocation-
dc.typeWorking Paperen
dc.identifier.ppn669404055en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201124en

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