Journal article icon

Journal article

Multivariate High-Frequency-Based Volatility (HEAVY) Models.

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

Actions


Access Document


Files:
Publisher copy:
10.1002/jae.1260

Authors


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

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP