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Document type:
Zeitschriftenaufsatz 
Author(s):
Barthel, Nicole; Czado, Claudia; Okhrin, Yarema 
Title:
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series 
Abstract:
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The one-to-one relationship between a positive definite correlation matrix and its associated set of partial correlations corresponding to any vine specification is used for data transformation. The model components therefore are realized variances as well as realized standard and partial correlations corresponding to a dai...    »
 
Keywords:
Forecasting, Partial correlation vine Realized volatility Time-series modeling R-vine structure selection 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Computational Statistics & Data Analysis 
Year:
2020 
Journal volume:
142 
Year / month:
2020-02 
Quarter:
1. Quartal 
Month:
Feb 
Journal issue:
142 
Pages contribution:
t.b.a. 
Language:
en 
Publisher:
Elsevier BV 
E-ISSN:
0167-9473 
Date of publication:
01.02.2020 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text