- Abstract:
-
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting speci cation and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particula...
Expand abstract - Files:
-
-
(pdf, 812.7KB)
-
- Publisher copy:
- 10.1002/jae.1260
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
- Journal:
- Journal of Applied Econometrics
- Volume:
- 27
- Issue:
- 6
- Publication date:
- 2011-01-01
- DOI:
- URN:
-
uuid:38dc0ba3-a780-4381-a106-82378c4771ab
- Local pid:
- oai:economics.ouls.ox.ac.uk:15209
- Language:
- English
- Copyright date:
- 2011
Journal article
Multivariate High-Frequency-Based Volatility (HEAVY) Models.
Actions
Access Document
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Bibliographic Details
Item Description
Terms of use
Metrics
Altmetrics
Dimensions
If you are the owner of this record, you can report an update to it here: Report update to this record