A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series

DOI10.1016/J.CSDA.2019.106810MaRDI QIDQ2008095zbMATH OpenOpenAlexFDO

Authors Nicole Barthel, Yarema Okhrin, Claudia Czado

Publication date 22 November 2019

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.09585

zbMATH Keywords

forecastingpartial correlation vineR-vine structure selectionrealized volatilitytime-series modeling

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A multivariate volatility vine copula model
• Dynamic asset correlations based on vines
• Forecasting multivariate realized stock market volatility
• Multivariate volatility models
• A GARCH-variance dependent approach to modelize dynamic conditional correlations

Cites work

• A multivariate volatility vine copula model
• A parameterization of positive definite matrices in terms of partial correlation vines
• A Tale of Two Time Scales
• An Algorithm for Finding K Minimum Spanning Trees
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Completion problem with partial correlation vines
• Dependence modeling with copulas
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimating covariation: Epps effect, microstructure noise
• Forecasting multivariate realized stock market volatility
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generating random correlation matrices based on vines and extended onion method
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2161246 (Why is no real title available?)
• scientific article; zbMATH DE number 3334738 (Why is no real title available?)
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Modeling and Forecasting Realized Volatility
• On Bayesian Modeling of Fat Tails and Skewness
• On covariance estimation of non-synchronously observed diffusion processes
• On loss functions and ranking forecasting performances of multivariate volatility models
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Simplified pair copula constructions -- limitations and extensions
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The Model Confidence Set
• The Volatility of Realized Volatility
• The Wishart autoregressive process of multivariate stochastic volatility
• Truncation of vine copulas using fit indices
• Vines -- a new graphical model for dependent random variables.
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(6)

• Forecasting VaR and ES of stock index portfolio: a vine copula method
• Modeling tick-by-tick realized correlations
• Dynamic asset correlations based on vines
• A multivariate volatility vine copula model
• Dynamic partial correlation models
• Dynamic partial (co)variance forecasting model

Describes a project that uses

Uses Software

• RiskMetrics
• CopulaModel

This page was built for publication: A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2008095)