bibtype	J - Journal Article
ARLID	0396003
utime	20240103202933.2
mtime	20130926235959.9
title (primary) (eng)	Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
specification	page_count 25 s. media_type P
serial	ARLID cav_un_epca*0396002 ISSN 1802-792X title ACTA VŠFS volume_id 7 volume 1 (2013) page_num 6-30
keyword	multivariate realized volatility
keyword	covariation
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.
source	url http://library.utia.cas.cz/separaty/2013/E/barunik-0396003.pdf
cas_special	abstract (eng) Study of the financial market dependencies have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Current financial crisis have shown that understanding of the dependencies in the markets is crucial and it has even boosted the interest of researchers. this work brings new theoretical framework for the realized covariation estimation gener- alizing the current knowledge and bringing the estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures into several investment horizons. our estimator is moreover able to separate individual jumps, co-jumps and true covariation from the high frequency data, thus brings better understanding of the dependence. the results have crucial impact on the portfolio diver- sification especially in the crisis years as they point to the strong dynamic relationships at various investment horizons. reportyear 2014 RIV AH num_of_auth 1 inst_support RVO:67985556 permalink http://hdl.handle.net/11104/0224121 arlyear 2013 mrcbU63 cav_un_epca*0396002 ACTA VŠFS 1802-792X Roč. 7 č. 1 2013 6 30