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

[journal article]

dc.contributor.author	Acosta-González, Eduardo	de
dc.contributor.author	Fernández-Rodríguez, Fernando	de
dc.contributor.author	Andrada-Félix, Julián	de
dc.date.accessioned	2011-04-01T04:07:00Z	de
dc.date.accessioned	2012-08-29T23:07:58Z
dc.date.available	2012-08-29T23:07:58Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/24122
dc.description.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).	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction
dc.title	Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Applied Economics	de
dc.source.volume	41	de
dc.publisher.country	USA
dc.source.issue	26	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-241225	de
dc.date.modified	2011-04-04T12:16:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	3437-3445
internal.identifier.classoz	10905
internal.identifier.classoz	1090300
internal.identifier.journal	21	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/00036840701439371	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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