EconPapers    
Economics at your fingertips  
 

Forecasting Covariance Matrices: A Mixed Frequency Approach

Roxana Halbleib () and Valeri Voev ()

No ECARES 2011-002, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This paper proposes a new method for forecasting covariance matrices of financial returns. the model mixes volatility forecasts from a dynamic model of daily realized volatilities estimated with high-frequency data with correlation forecasts based on daily data. This new approach allows for flexible dependence patterns for volatilities and correlations, and can be applied to covariance matrices of large dimensions. The seperate modeling of volatility and correlation forecasts considerably reduces the estimation and measurement error implied by the joint estimation and modeling of covariance matrix dynamics. Our empirical results show that the new mixing approach provides superior forecasts compared to multivariate volatility specifications using single sources of information.

New Economics Papers: this item is included in nep-mst and nep-rmg
Date: 2011-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/7364 ... VOEV-forecasting.pdf 2011-002-HALBLEIB_VOEV-forecasting (application/pdf)

Related works:
Working Paper: Forecasting Covariance Matrices: A Mixed Frequency Approach (2012) Downloads
Working Paper: Forecasting Covariance Matrices: A Mixed Frequency Approach (2011) Downloads
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: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/73640

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... ulb.ac.be:2013/73640

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().

 
Page updated 2019-04-20
Handle: RePEc:eca:wpaper:2013/73640