Arbeitspapier
Modelling and forecasting multivariate realized volatility
This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter restrictions. We provide an empirical application of the model, in which we show by means of stochastic dominance tests that the returns from an optimal portfolio based on the model's forecasts second-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk-averse investor, regardless of the type of utility function, would be better-off using our model.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 08/06
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Portfolio Choice; Investment Decisions
- Thema
-
Forecasting
Fractional integration
Stochastic dominance
Portfolio optimization
Realized covariance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chiriac, Roxana
Voev, Valeri
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2008
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116658
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chiriac, Roxana
- Voev, Valeri
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2008
Ähnliche Objekte (12)
Modelling and forecasting multivariate realized volatility
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
Multivariate realized stock market volatility
Localized Realized Volatility Modelling
Localized realized volatility modelling
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Matrix Box-Cox models for multivariate realized volatility
Modelling and Forecasting of Realized Covariance Matrices
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized volatility
HARNet: a convolutional neural network for realized volatility forecasting
A Markov-switching multifractal approach to forecasting realized volatility
Modelling and forecasting multivariate realized volatility
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
Multivariate realized stock market volatility
Localized Realized Volatility Modelling
Localized realized volatility modelling
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Matrix Box-Cox models for multivariate realized volatility
Modelling and Forecasting of Realized Covariance Matrices
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized volatility
HARNet: a convolutional neural network for realized volatility forecasting
A Markov-switching multifractal approach to forecasting realized volatility
Modelling and forecasting multivariate realized volatility
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
Multivariate realized stock market volatility
Localized Realized Volatility Modelling
Localized realized volatility modelling
Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Matrix Box-Cox models for multivariate realized volatility
Modelling and Forecasting of Realized Covariance Matrices
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized volatility
HARNet: a convolutional neural network for realized volatility forecasting