Matrix Box-Cox Models for Multivariate Realized Volatility

Roland Weigand
Authors registered in the RePEc Author Service: Roland Jucknewitz

No 144, Working Papers from Bavarian Graduate Program in Economics (BGPE)

Abstract: We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed individually and modeled jointly with the correlations. We estimate transformation parameters by a new multivariate semiparametric estimator and discuss bias-corrected point and density forecasting by simulation. The methods are applied to stock market data where excellent in-sample and out-of-sample performance is found.

Keywords: realized covariance matrix; dynamic correlation; semiparametric estimation; density forecasting (search for similar items in EconPapers)
JEL-codes: C14 C32 C51 C53 C58 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2014-03
New Economics Papers: this item is included in nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: Matrix Box-Cox Models for Multivariate Realized Volatility (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bav:wpaper:144_weigand

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