Počet záznamů: 1
Modeling multivariate volatility using wavelet-based realized covariance estimator
0368270 - UTIA-B 2013 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Baruník, Jozef - Vácha, Lukáš
Modeling multivariate volatility using wavelet-based realized covariance estimator.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 29-34. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Janská Dolina (SK), 06.09.2011-09.09.2011]
Grant CEP: GA ČR GAP402/10/1610; GA ČR GA402/09/0965; GA ČR GD402/09/H045
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: multivariate realized volatility * covariation * jumps * wavelets
Kód oboru RIV: AH - Ekonomie
Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets.
Trvalý link: http://hdl.handle.net/11104/0202661