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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%T Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index
%A Acosta-González, Eduardo
%A Fernández-Rodríguez, Fernando
%A Andrada-Félix, Julián
%J Applied Economics
%N 26
%P 3437-3445
%V 41
%D 2009
%K Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction
%= 2011-04-04T12:16:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241225
%X 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).
%C USA
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info