Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

Acosta-González, Eduardo; Fernández-Rodríguez, Fernando; Andrada-Félix, Julián

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@article{ Acosta-González2009,
 title = {Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index},
 author = {Acosta-González, Eduardo and Fernández-Rodríguez, Fernando and Andrada-Félix, Julián},
 journal = {Applied Economics},
 number = {26},
 pages = {3437-3445},
 volume = {41},
 year = {2009},
 doi = {https://doi.org/10.1080/00036840701439371},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241225},
 abstract = {In this paper we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange (NYSE) and the Madrid Stock Exchange Index (MSEI).},
}