Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be approximated by a constant over some interval. In such a...

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be approximated by a constant over some interval. In such a...

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Diese Dissertation entwickelt neue lokal adaptive Methoden zur Schaetzung und Vorhersage von Zeitreihendaten. Diese Methoden sind fuer die Volatilitaetsschaetzung von Finanzmarktrenditen und fuer Regressions- und Autoregressionsprobleme konstruiert worden. Die vorgeschlagenen Ansaetze werden als...

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...