Arbeitspapier
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance matrix dynamics are formulated as a numerically efficient matrix recursion that ensures positive definiteness under simple parameter constraints. Using intraday stock data over the period 2001-2012, we construct realized covariance kernels and show that the new fractionally integrated model statistically and economically outperforms recent alternatives such as the Multivariate HEAVY model and the 2006 “long-memory” version of the Riskmetrics model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 16-069/IV
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
- Thema
-
multivariate volatility
fractional integration
realized covariance matrices
heavy tails
matrix-F distribution
score dynamics
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lucas, André
Opschoor, Anne
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lucas, André
- Opschoor, Anne
- Tinbergen Institute
Entstanden
- 2016
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