Similar Search Results

The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Persistent link: https://www.econbiz.de/10009308302

TVICA - time varying independent component analysis and its application to financial data

Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang - 2011

series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to …) method. Compared to a static ICA, the dynamic TVICA provides good performance both in simulation and real data analysis. The …. -- Adaptive Sequential Testing ; Independent Component Analysis ; Local Homogeneity ; Signal Processing ; Realized Volatility. …

Persistent link: https://www.econbiz.de/10009266846

Large vector auto regressions

Song, Song; Bickel, Peter J. - 2011

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Persistent link: https://www.econbiz.de/10009266948

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...

Persistent link: https://www.econbiz.de/10009388782

Estimation and inference for varying-coeffcient models with nonstationary regressors using penalized splines

Chen, Haiqiang; Fang, Ying; Li, Yingxing - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

Persistent link: https://www.econbiz.de/10009767261

Log-periodogram estimation of the memory parameter of a long-memory process under trend

Sibbertsen, Philipp - 2001 - Version August 2001

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered...

Persistent link: https://www.econbiz.de/10009776759

Bootstrap joint prediction regions

Wolf, Michael; Wunderli, Dan - 2013 - First version: February 2012

Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the...

Persistent link: https://www.econbiz.de/10009748762

Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation

Fortin, Ines - 1999

This paper deals with optimal window width choice in non-parametric lag- or spectral window estimation of the spectral density of a stationary zero-mean process. Several approaches are reviewed: the cross-validation based methods described by Hurvich (1985), Beltrao & Bloomfield (1987) and...

Persistent link: https://www.econbiz.de/10009711652

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...

Persistent link: https://www.econbiz.de/10009714536

Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables

Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010

, quadratic and more complex, non-linear functions, using different sample sizes and signal to noise ratios. We found that for …

Persistent link: https://www.econbiz.de/10009736613