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Document type:
Zeitungsartikel 
Author(s):
Barthel, N., Czado, C., and Okhrin, Y. 
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. A method to select a vine structure, which allows for parsimonious time-series modeling, is introduced. The predicted partial correlations have a clear pr...    »
 
Keywords:
Forecasting; Partial correlation vine; Realized volatility; Time-series modeling; R-vine structure selection 
Journal title:
Preprint 
Year:
2018 
WWW:
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Status:
Postprint / reviewed