1 resultado para High frequency data
em Universidade Complutense de Madrid
Filtro por publicador
- JISC Information Environment Repository (2)
- Aberdeen University (2)
- Aberystwyth University Repository - Reino Unido (1)
- Academic Archive On-line (Stockholm University; Sweden) (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (14)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (5)
- Aquatic Commons (11)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (7)
- Archimer: Archive de l'Institut francais de recherche pour l'exploitation de la mer (1)
- Archive of European Integration (1)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (3)
- Aston University Research Archive (18)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (11)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (10)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (6)
- Bioline International (1)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (41)
- Boston University Digital Common (3)
- Brock University, Canada (10)
- CaltechTHESIS (9)
- Cambridge University Engineering Department Publications Database (70)
- CentAUR: Central Archive University of Reading - UK (59)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (52)
- Cochin University of Science & Technology (CUSAT), India (3)
- Coffee Science - Universidade Federal de Lavras (1)
- Collection Of Biostatistics Research Archive (2)
- CORA - Cork Open Research Archive - University College Cork - Ireland (3)
- Dalarna University College Electronic Archive (2)
- Deakin Research Online - Australia (35)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (2)
- Digital Commons - Michigan Tech (5)
- Digital Commons at Florida International University (6)
- Digital Peer Publishing (1)
- DigitalCommons - The University of Maine Research (2)
- DigitalCommons@The Texas Medical Center (13)
- DRUM (Digital Repository at the University of Maryland) (1)
- Duke University (7)
- Earth Simulator Research Results Repository (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (5)
- Glasgow Theses Service (2)
- Greenwich Academic Literature Archive - UK (4)
- Helda - Digital Repository of University of Helsinki (15)
- Indian Institute of Science - Bangalore - Índia (57)
- Instituto Politécnico do Porto, Portugal (1)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (1)
- Martin Luther Universitat Halle Wittenberg, Germany (1)
- Massachusetts Institute of Technology (2)
- Memorial University Research Repository (1)
- National Center for Biotechnology Information - NCBI (10)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (7)
- Publishing Network for Geoscientific & Environmental Data (85)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (43)
- Queensland University of Technology - ePrints Archive (82)
- Repositório digital da Fundação Getúlio Vargas - FGV (17)
- Repositório Digital da Universidade Municipal de São Caetano do Sul - USCS (1)
- Repositório Institucional da Universidade de Aveiro - Portugal (1)
- Repositório Institucional da Universidade Federal do Rio Grande do Norte (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (92)
- Research Open Access Repository of the University of East London. (1)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- SAPIENTIA - Universidade do Algarve - Portugal (3)
- School of Medicine, Washington University, United States (10)
- Universidad del Rosario, Colombia (6)
- Universidad Politécnica de Madrid (25)
- Universidade Complutense de Madrid (1)
- Universidade Federal do Pará (7)
- Universidade Federal do Rio Grande do Norte (UFRN) (10)
- Universidade Técnica de Lisboa (1)
- Universitat de Girona, Spain (1)
- Université de Montréal, Canada (12)
- University of Canberra Research Repository - Australia (1)
- University of Michigan (8)
- University of Queensland eSpace - Australia (14)
- University of Washington (4)
- WestminsterResearch - UK (1)
- Worcester Research and Publications - Worcester Research and Publications - UK (1)
Resumo:
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.