Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/87479 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 11-175/2/DSF28
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
fractional integration
correlation
Student's t copula
time-varying dependence
multivariate volatility
JEL: 
C10
C22
C32
C51
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.31 MB





Publikationen in EconStor sind urheberrechtlich geschützt.