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Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

Eduardo Acosta-Gonzalez, Julian Andrada-Felix () and Fernando Fernandez-Rodriguez

Applied Economics, 2009, vol. 41, issue 26, pages 3437-3445

Abstract: In this article, we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange and the Madrid Stock Exchange Index.

Date: 2009
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