We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.
- Authors
Bauwens, Luc; Otranto, Edoardo
- Abstract
Time series of realized covariance matrices can be modeled in the conditional autoregressive Wishart model family via dynamic correlations or via dynamic covariances. Extended parameterizations of these models are proposed, which imply a specific and time-varying impact parameter of the lagged realized covariance (or correlation) on the next conditional covariance (or correlation) of each asset pair. The proposed extensions guarantee the positive definiteness of the conditional covariance or correlation matrix with simple parametric restrictions, while keeping the number of parameters fixed or linear with respect to the number of assets. Two empirical studies reveal that the extended models have superior forecasting performances than their simpler versions and benchmark models.
- Subjects
COVARIANCE matrices; HADAMARD matrices; MATRIX exponential; AUTOREGRESSIVE models; TIME series analysis
- Publication
Journal of Financial Econometrics, 2023, Vol 21, Issue 4, p1376
- ISSN
1479-8409
- Publication type
Article
- DOI
10.1093/jjfinec/nbac007