Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/99972 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
BGPE Discussion Paper No. 144
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE), Nürnberg
Zusammenfassung: 
We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed individually and modeled jointly with the correlations. We estimate transformation parameters by a new multivariate semiparametric estimator and discuss bias-corrected point and density forecasting by simulation. The methods are applied to stock market data where excellent in-sample and out-of-sample performance is found.
Schlagwörter: 
Realized covariance matrix
dynamic correlation
semiparametric estimation
density forecasting
JEL: 
C14
C32
C51
C53
C58
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
708.4 kB





Publikationen in EconStor sind urheberrechtlich geschützt.