Montag, 16. April 2018, 16:45 - 17:45 iCal

ISOR Colloquium

"Vine-based modelling of (multivariate) realized volatility time series"

Speaker: Yarema Okhrin (Univ. Augsburg)

HS 7 OMP1 (#1.303, 1st floor)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag


A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The one-to-one relationship between a positive de nite correlation matrix and its associated set of partial correlations corresponding to any vine speci cation is used. A method to select a vine structure, which allows for parsimonious time-series modeling, is introduced. The predicted partial correlations have a clear practical interpretation. Being algebraically independent they do not underlie any algebraic constraint. The forecasting performance is evaluated through investigation of six-dimensional real data and is compared to Cholesky decomposition based benchmark models.

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Veranstalter

Institut für Statistik und Operations Research


Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at