کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9553904 | 1375681 | 2005 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Functional gradient descent for financial time series with an application to the measurement of market risk
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The estimation and forecast of the volatility matrix are two of the main tasks of financial econometrics since they are essential ingredients in many practical applications. Unfortunately the use of classical multivariate methods in large dimensions is difficult because of the curse of dimensionality. We present a general semiparametric technique, based on functional gradient descent (FGD) and able to overcome most problems associated with a multivariate GARCH-type estimation. By testing the accuracy of the volatility estimates for the measurement of market risk on real data we provide empirical evidence of the strong predictive potential of the FGD approach, also in comparison to other standard methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 29, Issue 4, April 2005, Pages 959-977
Journal: Journal of Banking & Finance - Volume 29, Issue 4, April 2005, Pages 959-977
نویسندگان
Francesco Audrino, Giovanni Barone-Adesi,