Recursive MEWMA Projections of Conditional Covolatilities in Large Portfolios

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10505140" target="_blank" >RIV/00216208:11320/25:10505140 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=1cUJ1UsPBR" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=1cUJ1UsPBR</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.54694/stat.2024.80" target="_blank" >10.54694/stat.2024.80</a>

Result language
angličtina
Original language name
Recursive MEWMA Projections of Conditional Covolatilities in Large Portfolios
Original language description
Dynamic predictions of large dimensional conditional covariance matrices are considered in the context of large financial portfolios. Since numerically simple prediction methods are usually recommended for multivariate conditional covariances (covolatilities), one prefers in this paper the multivariate EWMA (exponentially weighted moving average) processes extending the recursive estimation of EWMA processes to the multivariate case. Moreover, various modifications of recursive MEWMA projections are suggested to improve the quality of covolatility projections. An extensive numerical study for real stock indices portfolios compares types of covolatility projections employing various criteria and tests.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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