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Titel:

Modelling temporal dependence of realized variances with vines

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
Vines; Realized volatility; Forecasting; Time series
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Econometrics and Statistics
Jahr:
2019
Band / Volume:
12
Jahr / Monat:
2019-10
Quartal:
4. Quartal
Monat:
Oct
Seitenangaben Beitrag:
198-216
Volltext / DOI:
doi:10.1016/j.ecosta.2019.03.003
Verlag / Institution:
Elsevier BV
E-ISSN:
2452-3062
Publikationsdatum:
01.10.2019
Semester:
WS 19-20
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
Format:
Text
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