| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0368270 |
| utime |
20240103195937.5 |
| mtime |
20121018235959.9 |
| WOS |
000309074600004 |
| title
(primary) (eng) |
Modeling multivariate volatility using wavelet-based realized covariance estimator |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0364870 |
| ISBN |
978-80-7431-058-4 |
| title
|
Mathematical Methods in Economics 2011 |
| page_num |
29-34 |
| publisher |
| place |
Prague |
| name |
Proffesional publishing |
| year |
2011 |
|
|
| keyword |
multivariate realized volatility |
| keyword |
covariation |
| keyword |
jumps |
| keyword |
wavelets |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| cas_special |
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets. |
| action |
| ARLID |
cav_un_auth*0274752 |
| name |
Mathematical Methods in Economics 2011 |
| place |
Janská Dolina |
| dates |
06.09.2011-09.09.2011 |
| country |
SK |
|
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
2 |
| permalink |
http://hdl.handle.net/11104/0202661 |
| arlyear |
2011 |
| mrcbU34 |
000309074600004 WOS |
| mrcbU63 |
cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 29 34 Prague Proffesional publishing 2011 |
|