Search Results - subject:"Realised covariance"

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Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Hansen, Peter Reinhard; Janus, Pawel; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011526138

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010

under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an …

Persistent link: https://www.econbiz.de/10010898713

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010

under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an …

Persistent link: https://www.econbiz.de/10010570532

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009

-frequency financial time series under market microstructure noise and non-synchronous trading. A modulated realised covariance based on … analysis. We discuss several versions of the modulated realised covariance, which can be designed to possess an optimal rate of … and non-synchronous trading. A modulated realised covariance based on pre-averaged data is proposed and studied in this …

Persistent link: https://www.econbiz.de/10008459759