Modeling multivariate volatility using wavelet-based realized covariance estimator

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00368270" target="_blank" >RIV/67985556:_____/11:00368270 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modeling multivariate volatility using wavelet-based realized covariance estimator
Original language description
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 therealized 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.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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