✦ LIBER ✦

Modelling and forecasting multivariate realized volatility

✍ Scribed by Roxana Chiriac; Valeri Voev

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 288 KB
Volume: 26
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.1152

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✦ Synopsis

This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for flexible dependence patterns and automatically guarantees positive definiteness of the forecast. We provide an empirical application of the model, which shows that it outperforms other approaches in the extant literature, both in terms of statistical precision as well as in terms of providing a superior mean-variance trade-off in a classical investment decision setting.

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