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 denite correlation matrix and its associated set of partial correlations corresponding to any vine specication 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.
Zur Webseite der Veranstaltung
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
Erstellt am Mittwoch, 04. April 2018, 15:22
Letzte Änderung am Donnerstag, 05. April 2018, 13:32