Journal article
Multivariate High-Frequency-Based Volatility (HEAVY) Models.
- Abstract:
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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...
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(pdf, 812.7KB)
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- Publisher copy:
- 10.1002/jae.1260
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Authors
Bibliographic Details
- Publisher:
- John Wiley & Sons, Ltd.
- Journal:
- Journal of Applied Econometrics
- Volume:
- 27
- Issue:
- 6
- Pages:
- 907 - 933
- Publication date:
- 2011-01-01
- DOI:
- ISSN:
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0883-7252
Item Description
- Language:
- English
- UUID:
-
uuid:38dc0ba3-a780-4381-a106-82378c4771ab
- Local pid:
- oai:economics.ouls.ox.ac.uk:15209
- Deposit date:
- 2011-09-20
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- Copyright date:
- 2011
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