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A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

Matteo Bonato, Massimiliano Caporin & Angelo Ranaldo

Kurzfassung Models for realized covariance matrices may suffer from the curse of dimensionality as more traditional multivariate volatility models (such as GARCH and stochastic volatility). Within the class of realized covariance models, we focus on the Wishart specification introduced by C. Gourieroux, J. Jasiak, and R.
Sufana [2009. The Wishart autoregressive process of multivariate stochastic volatility. Journal of Econometrics 150, no. 2: 167–81] and analyze here the forecasting performances of the parametric restrictions discussed in M. Bonato [2009. Estimating the degrees of freedom of the realized volatilityWishart autoregressive model. Manuscript available at http://ssrn.com/abstract=1357044], which are motivated by asset features such as their economic sector and book-to-market or price-to-earnings ratios, among others. Our purpose is to verify if restricted model forecasts are statistically equivalent to full-model specification, a result that would support the use of restrictions when the problem cross-sectional dimension is large.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags) realized covariance;WAR; HAR; multivariate volatility forecasts
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 10-2012
Zeitschrift The European Journal of Finance
Verlag Routledge
DOI http://dx.doi.org/10.1080/1351847X.2011.601629
Jahrgang bzw. Volume 2012
Nummer bzw. Issue 18
Seite(n) 761-774
Review Double-Blind Review
   
Zitation Bonato, Matteo ; Caporin, Massimiliano ; Ranaldo, Angelo: A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices. In: The European Journal of Finance 2012 (2012), Nr. 18, S. 761-774, DOI:http://dx.doi.org/10.1080/1351847X.2011.601629.