Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Valeri Voev"'
Publikováno v:
Li, Y, Nolte, I, Vasios, M, Voev, V & Xu, Q 2022, ' Weighted Least Squares Realized Covariation Estimation ', Journal of Banking & Finance . https://doi.org/10.1016/j.jbankfin.2022.106420
We introduce a novel weighted least squares approach to estimate daily realized covariation and microstructure noise variance using high-frequency data. We provide an asymptotic theory and conduct a comprehensive Monte Carlo simulation to demonstrate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::341927f0d31d2ed63d9aa3febf82554e
https://doi.org/10.2139/ssrn.4011269
https://doi.org/10.2139/ssrn.4011269
Autor:
Valeri Voev, Roxana Halbleib
Publikováno v:
Journal of Financial Econometrics. 14:383-417
In this article, we introduce a new method of forecasting large-dimensional covariance matrices by exploiting the theoretical and empirical potential of mixing forecasts derived from different information sets. The main theoretical contribution of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d18d9a156d6f7df8aaa3fc6230d7ab4f
https://doi.org/10.1093/jjfinec/nbu031
https://doi.org/10.1093/jjfinec/nbu031
Publikováno v:
Journal of Applied Econometrics. 29:774-799
SUMMARY We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of volatiliti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c1360d56baf375e8c94ebbdc38d3a25
https://doi.org/10.1002/jae.2389
https://doi.org/10.1002/jae.2389
Autor:
Rasmus T. Varneskov, Valeri Voev
Publikováno v:
Varneskov, R T & Voev, V R 2013, ' The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts ', Journal of Empirical Finance, vol. 20, no. January, pp. 83-95 . https://doi.org/10.1016/j.jempfin.2012.11.002
Recently, consistent measures of the ex-post covariation of financial assets based on noisy high-frequency data have been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data based cova
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::db92c6ad7371f1606840d1096757cb0b
https://doi.org/10.1016/j.jempfin.2012.11.002
https://doi.org/10.1016/j.jempfin.2012.11.002
Autor:
Valeri Voev, Roxana Halbleib
Publikováno v:
Halbleib, R & Voev, V 2011, ' Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors ', Jahrbuecher fuer Nationaloekonomie und Statistik, vol. 231, no. 1, pp. 134-152 .
Summary This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky fa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0ffb9fe17fb40ef54dd48e6dadc46f62
https://doi.org/10.1515/jbnst-2011-0109
https://doi.org/10.1515/jbnst-2011-0109
Autor:
Asger Lunde, Valeri Voev
Publikováno v:
Voev, V & Lunde, A 2007, ' Integrated covariance estimation using high-frequency data in the presence of noise ', Journal of Financial Econometrics, vol. 5, no. 1, pp. 68-104 . < http://jfec.oxfordjournals.org/cgi/reprint/5/1/68 >
We analyze the effects of nonsynchronicity and market microstructure noise on realized covariance type estimators. Hayashi and Yoshida (2005) propose a simple estimator that resolves the problem of nonsynchronicity and is unbiased and consistent for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80bb50ab626ee59236412de8b87cd924
https://doi.org/10.1093/jjfinec/nbl011
https://doi.org/10.1093/jjfinec/nbl011
Realized Beta GARCH:A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
Publikováno v:
Hansen, P R, Lunde, A & Voev, V R 2014, ' Realized Beta GARCH : A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility ', Journal of Applied Econometrics, vol. 29, pp. 774-799 . https://doi.org/10.1002/jae.2389
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of volatilities and c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6befd99e6ad5d5913a891e32d851abe7
https://pure.au.dk/portal/da/publications/realized-beta-garch(3504aaa2-e248-4f60-858e-13ef13e8eb75).html
https://pure.au.dk/portal/da/publications/realized-beta-garch(3504aaa2-e248-4f60-858e-13ef13e8eb75).html
Publikováno v:
SSRN Electronic Journal.
We propose a least squares regression framework for the estimation of the realized covariation matrix using high frequency data. The new estimator is robust to market microstructure noise (MMS) and non-synchronous trading. Comprehensive simulation an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e1c84d1c5ca98d82c26621c5295f3e7d
https://doi.org/10.2139/ssrn.2205033
https://doi.org/10.2139/ssrn.2205033
Autor:
Roxana Halbleib, Valeri Voev
In this paper we introduce a new method of forecasting covariance matrices of large dimensions by exploiting the theoretical and empirical potential of using mixed-frequency sampled data. The idea is to use high-frequency (intraday) data to model and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27f4d646fb7502bb30f883227756feaf
https://dipot.ulb.ac.be/dspace/bitstream/2013/73640/1/2011-002-HALBLEIB_VOEV-forecasting.pdf
https://dipot.ulb.ac.be/dspace/bitstream/2013/73640/1/2011-002-HALBLEIB_VOEV-forecasting.pdf