Economics at your fingertips  

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, 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
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Series data maintained by Chris Longhurst ().

Page updated 2017-11-17
Handle: RePEc:taf:applec:v:41:y:2009:i:26:p:3437-3445