Predikce mnohorozměrné volatility pro velká portfolia
| العنوان: | Predikce mnohorozměrné volatility pro velká portfolia |
|---|---|
| المؤلفون: | Vágner, Jan |
| المساهمون: | Cipra, Tomáš, Prášková, Zuzana |
| سنة النشر: | 2023 |
| مصطلحات موضوعية: | Integrated covariance estimators|Multivariate HAR models|Multivariate volatility|Portfolio optimization with transaction costs|Realized covariance, Odhady integrované kovariance|Mnohorozměrné HAR modely|Mnohorozměrná volatilita|Optimalizace portfólia s transakčními náklady|Realizovaná kovariance |
| الوصف: | 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 |
| اللغة: | English |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=od______2186::ba0b985c831f20f3a78d0e98fcde3801 http://www.nusl.cz/ntk/nusl-528884 |
| Rights: | RESTRICTED |
| رقم الانضمام: | edsair.od......2186..ba0b985c831f20f3a78d0e98fcde3801 |
| قاعدة البيانات: | OpenAIRE |
| الوصف غير متاح. |