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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
[Zeitschriftenartikel]
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... mehr
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).... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Freie Schlagwörter
Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 3437-3445
Zeitschriftentitel
Applied Economics, 41 (2009) 26
DOI
https://doi.org/10.1080/00036840701439371
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)