Cholesky–ANN models for predicting multivariate realized volatility
نویسندگان
چکیده
منابع مشابه
Matrix Box-Cox Models for Multivariate Realized Volatility
We propose flexible 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 join...
متن کاملMultivariate Volatility Models
Multivariate volatility models are widely used in finance to capture both volatility clustering and contemporaneous correlation of asset return vectors. Here, we focus onmultivariate GARCHmodels. In this commonmodel class, it is assumed that the covariance of the error distribution follows a time dependent process conditional on information which is generated by the history of the process. To p...
متن کاملMultivariate volatility models
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality quickly becomes an issue as the number of correlations is k(k− 1)/2 for k assets. In this paper, we review some of the commonly used models for multivariate v...
متن کاملStructured Multivariate Volatility Models
This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured speci cations aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small cross-sections for unstructured models. Structured parametrizations possess the following four desirable proper...
متن کاملDo Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps * Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps *
Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path to jointly forecast volatility in three Chinese Mainland stocks. Out of sample forecast analysis show...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2020
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.2664