Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis

A method is proposed to compute a time-varying correlation matrix between asset prices. The method has a natural geometric interpretation in terms of dynamic principal components analysis. The paper illustrates, via Monte Carlo experiments and data analysis, the potential of the method in computing cross-correlations; and it describes market integration, introducing the concept of reference asset.

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Year of publication:	2005
Authors:	Mancino, Maria Elvira ; Reno, Roberto
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 12.2005, 2, p. 187-199
Publisher:	Taylor & Francis Journals
Subject:	Cross-volatilities \| Fourier series \| dynamic principal component analysis

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009279073