Recursive estimation of the multivariate EWMA process

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10400163" target="_blank" >RIV/00216208:11320/19:10400163 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.18267/pr.2019.los.186.46" target="_blank" >http://dx.doi.org/10.18267/pr.2019.los.186.46</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/pr.2019.los.186.46" target="_blank" >10.18267/pr.2019.los.186.46</a>

Result language
angličtina
Original language name
Recursive estimation of the multivariate EWMA process
Original language description
Recursive estimation methods suitable for univariate GARCH models have been recently studied in the literature. They undoubtedly represent attractive alternatives to the standard non-recursive estimation procedures with many practical applications (especially in the context of high-frequency financial data). It might be truly advantageous to adopt numerically effective techniques that can estimate, monitor, and control such models in real time. The aim of this contribution is to extend this methodology to the multivariate EMWA process by applying general recursive estimation instruments. The multivariate exponentially weighted moving average (MEWMA) model is a particular modelling scheme advocated by RiskMetrics that is capable of predicting the current level of financial time series covolatilities. In particular, the suggested approach seems to be useful for various multivariate financial time series with (conditionally) correlated components. Monte Carlo experiments are performed in order to investigate statistic features of the proposed estimation algorithm. Moreover, an empirical financial analysis demonstrates its capability.
Czech name
—
Czech description
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Project
<a href="/en/project/GA17-00676S" target="_blank" >GA17-00676S: Dynamic models of risk in finance and insurance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 13th International Days of Statistics and Economics
ISBN
978-80-87990-18-6
ISSN
—
e-ISSN
—
Number of pages
10
Pages from-to
464-473
Publisher name
Melandrium
Place of publication
Prague
Event location
Prague
Event date
Sep 5, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000589182000047

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