Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87479
Authors: 
Janus, Pawel
Koopman, Siem Jan
Lucas, André
Year of Publication: 
2011
Series/Report no.: 
Tinbergen Institute Discussion Paper 11-175/2/DSF28
Abstract: 
We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the data. In the empirical study for four Dow Jones equities, we find that the degree of memory in the volatilities of the equity return series is similar, while the degree of memory in correlations between the series varies significantly. The forecasts from our model are compared with high-frequency realised volatility and dependence measures. The forecast accuracy is overall higher compared to those from some well-known competing benchmark models.
Subjects: 
fractional integration
correlation
Student's t copula
time-varying dependence
multivariate volatility
JEL: 
C10
C22
C32
C51
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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