User: Guest  Login
Title:

Modelling temporal dependence of realized variances with vines

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, Claudia; Ivanov, Eugen; Okhrin, Yarema
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
Fulltext / DOI:
doi:10.1016/j.ecosta.2019.03.003
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
 BibTeX