Název: Modeling multivariate volatility using wavelet-based realized covariance estimator
Autoři: Baruník, Jozef ; Vácha, Lukáš
Typ dokumentu: Příspěvky z konference
Konference/Akce: Mathematical Methods in Economics 2011, Janská Dolina (SK), 2011-09-06 / 2011-09-09
Rok: 2011
Jazyk: eng
Abstrakt: 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.
Klíčová slova: covariation; jumps; multivariate realized volatility; wavelets
Číslo projektu: CEZ:AV0Z10750506 (CEP), GAP402/10/1610 (CEP), GA402/09/0965 (CEP), GD402/09/H045 (CEP)
Poskytovatel projektu: GA ČR, GA ČR, GA ČR
Zdrojový dokument: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný v příslušném ústavu Akademie věd ČR.
Původní záznam: http://hdl.handle.net/11104/0202661

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-126597


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference