| bibtype |
J -
Journal Article
|
| ARLID |
0478479 |
| utime |
20240103214544.3 |
| mtime |
20170925235959.9 |
| SCOPUS |
84966539553 |
| WOS |
000394909900006 |
| DOI |
10.1002/for.2423 |
| title
(primary) (eng) |
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model |
| specification |
| page_count |
26 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251242 |
| ISSN |
0277-6693 |
| title
|
Journal of Forecasting |
| volume_id |
36 |
| volume |
1 (2017) |
| page_num |
181-206 |
| publisher |
|
|
| keyword |
Multivariate volatility |
| keyword |
realized covariance |
| keyword |
portfolio optimisation |
| author
(primary) |
| ARLID |
cav_un_auth*0344057 |
| name1 |
Čech |
| name2 |
František |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292677 |
| project_id |
GA13-32263S |
| agency |
GA ČR |
|
| abstract
(eng) |
Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast a realized covariance matrix to capture this information. We find that the newly proposed gener- alized heterogeneous autoregressive (GHAR) model outperforms competing approaches in terms of economic gains, providing better mean–variance trade-off, while, in terms of statistical precision, GHAR is not substantially dominated by any other model. Our results provide a comprehensive comparison of the performance when realized covariance, subsampled realized covariance and multivariate realized kernel estimators are used. We study the contribution of the estimators across different sampling frequencies, and show that the multivariate realized kernel and subsampled real- ized covariance estimators deliver further gains compared to realized covariance estimated on a 5-minute frequency. In order to show economic and statistical gains, a portfolio of various sizes is used. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2018 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0274596 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| mrcbC86 |
1 Article Economics|Management |
| mrcbC86 |
1 Article Economics|Management |
| mrcbC86 |
1 Article Economics|Management |
| mrcbT16-e |
ECONOMICS|MANAGEMENT |
| mrcbT16-j |
0.493 |
| mrcbT16-s |
0.792 |
| mrcbT16-B |
34.921 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2017 |
| mrcbU14 |
84966539553 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000394909900006 WOS |
| mrcbU63 |
cav_un_epca*0251242 Journal of Forecasting 0277-6693 1099-131X Roč. 36 č. 1 2017 181 206 Wiley |
|