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Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index
[journal article]
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, th... view more
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).... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
Free Keywords
Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction
Document language
English
Publication Year
2009
Page/Pages
p. 3437-3445
Journal
Applied Economics, 41 (2009) 26
DOI
https://doi.org/10.1080/00036840701439371
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)