Home > Search Results: keywords:"Integrated covariance estimators|Multivariate HAR models|Multivariate volatility|Portfolio optimization with transaction costs|Realized covariance"
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National Repository of Grey Literature 1 records found  Search took 0.02 seconds. 
Multivariate volatility forecasts for large portfolios
 Vágner, Jan ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
One deals with the estimation and consequent forecast of the integrated covariance matrix in the context of high-frequency stock price data and high dimensionality regarding the number of analyzed assets. We present several methods for the integrated covariance estimation and then use these estimates as a basis for forecasting models. We mainly focus on the multivariate extensions of the HAR model. Finally, in the empirical study, we compare different model-estimator combinations (based on 5-min interval observation and 50 assets) using economic and statistical evaluation. Economic evaluation is based on portfolio optimization, including transaction costs. 1
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