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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, Claudia; Ivanov, Eugen; Okhrin, Yarema 
Title:
Modelling temporal dependence of realized variances with vines 
Abstract:
Models for realized volatility that take the specific form of temporal dependence into account are proposed. Current popular methods use the idea of mixed frequencies for forecasting realized volatility, but neglect the potential non-linear and non-monotonic temporal dependence. The proposed approach utilizes vine copulas to mimic different memory properties. HAR, MIDAS and bivariate copulas, which can be seen as special cases of the suggested modeling framework, are chosen as benchmarks. All mo...    »
 
Keywords:
Vines; Realized volatility; Forecasting; Time series 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Econometrics and Statistics 
Year:
2019 
Journal volume:
12 
Year / month:
2019-10 
Quarter:
4. Quartal 
Month:
Oct 
Pages contribution:
198-216 
Publisher:
Elsevier BV 
E-ISSN:
2452-3062 
Date of publication:
01.10.2019 
Semester:
WS 19-20 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text