کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417520 681534 2012 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jump robust daily covariance estimation by disentangling variance and correlation components
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Jump robust daily covariance estimation by disentangling variance and correlation components
چکیده انگلیسی

A jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns is proposed. It disentangles covariance estimation into variance and correlation components. This allows us to account for non-synchronous trading by estimating correlations over lower sampling frequencies. The efficiency gain of disentangling covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the Dow Jones Industrial Average constituents, it is shown that the proposed estimator leads to more stable portfolios.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 11, November 2012, Pages 2993–3005
نویسندگان
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