About: Modeling multivariate volatility using wavelet-based realized covariance estimator

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets. Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets. (en)
Title	Modeling multivariate volatility using wavelet-based realized covariance estimator Modeling multivariate volatility using wavelet-based realized covariance estimator (en)
skos:prefLabel	Modeling multivariate volatility using wavelet-based realized covariance estimator Modeling multivariate volatility using wavelet-based realized covariance estimator (en)
skos:notation	RIV/67985556:_____/11:00368270!RIV13-AV0-67985556
http://linked.open...avai/predkladatel	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/09/0965), P(GAP402/10/1610), P(GD402/09/H045), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	212974
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/11:00368270
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	multivariate realized volatility; covariation; jumps; wavelets (en)
http://linked.open.../riv/klicoveSlovo	wavelets covariation jumps multivariate realized volatility
http://linked.open...ontrolniKodProRIV	[C9940279E06A]
http://linked.open...v/mistoKonaniAkce	Janská Dolina
http://linked.open...i/riv/mistoVydani	Prague
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2011
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models. New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000309074600004
http://linked.open.../riv/zahajeniAkce	2011-09-06 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Proffesional publishing
https://schema.org/isbn	978-80-7431-058-4
is http://linked.open...avai/riv/vysledek of	Modeling multivariate volatility using wavelet-based realized covariance estimator

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