Modeling Realized Covariances and Returns

doi:10.1093/jjfinec/nbs022

CORC > 上海财经大学 > 上海财经大学

	Modeling Realized Covariances and Returns
	Jin, Xin 1; Maheu, John M.2
刊名	JOURNAL OF FINANCIAL ECONOMETRICS
	2013-03
卷号	11 期号:2 页码:335-369
关键词	C11 C32 C53 G17 Wishart distribution predictive likelihoods density forecasts realized covariance targeting MCMC
ISSN号	1479-8409
DOI	10.1093/jjfinec/nbs022
英文摘要	This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The main method of model comparison consists of a term-structure of density forecasts of returns for multiple forecast horizons. The new joint return-RCOV models provide superior density forecasts for returns from forecast horizons of 1 day to 3 months ahead as well as improved point forecasts for realized covariances. Global minimum variance portfolio selection is improved for forecast horizons up to 3 weeks out.
WOS研究方向	Business & Economics
语种	英语
出版者	OXFORD UNIV PRESS
WOS记录号	WOS:000316420100004
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2011]
专题	上海财经大学
通讯作者	Maheu, John M.
作者单位	1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 2.McMaster Univ, Hamilton, ON L8S 4L8, Canada
推荐引用方式 GB/T 7714	Jin, Xin,Maheu, John M.. Modeling Realized Covariances and Returns[J]. JOURNAL OF FINANCIAL ECONOMETRICS,2013,11(2):335-369.
APA	Jin, Xin,&Maheu, John M..(2013).Modeling Realized Covariances and Returns.JOURNAL OF FINANCIAL ECONOMETRICS,11(2),335-369.
MLA	Jin, Xin,et al."Modeling Realized Covariances and Returns".JOURNAL OF FINANCIAL ECONOMETRICS 11.2(2013):335-369.