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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F11%3A00368270%21RIV13-AV0-67985556
rdf:type
n6:Vysledek skos:Concept
dcterms: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.
dcterms:title
Modeling multivariate volatility using wavelet-based realized covariance estimator Modeling multivariate volatility using wavelet-based realized covariance estimator
skos:prefLabel
Modeling multivariate volatility using wavelet-based realized covariance estimator Modeling multivariate volatility using wavelet-based realized covariance estimator
skos:notation
RIV/67985556:_____/11:00368270!RIV13-AV0-67985556
n6:predkladatel
n7:ico%3A67985556
n4:aktivita
n9:P n9:Z
n4:aktivity
P(GA402/09/0965), P(GAP402/10/1610), P(GD402/09/H045), Z(AV0Z10750506)
n4:dodaniDat
n10:2013
n4:domaciTvurceVysledku
n15:8033048 n15:4745167
n4:druhVysledku
n14:D
n4:duvernostUdaju
n22:S
n4:entitaPredkladatele
n20:predkladatel
n4:idSjednocenehoVysledku
212974
n4:idVysledku
RIV/67985556:_____/11:00368270
n4:jazykVysledku
n11:eng
n4:klicovaSlova
multivariate realized volatility; covariation; jumps; wavelets
n4:klicoveSlovo
n8:jumps n8:wavelets n8:multivariate%20realized%20volatility n8:covariation
n4:kontrolniKodProRIV
[C9940279E06A]
n4:mistoKonaniAkce
Janská Dolina
n4:mistoVydani
Prague
n4:nazevZdroje
Mathematical Methods in Economics 2011
n4:obor
n13:AH
n4:pocetDomacichTvurcuVysledku
2
n4:pocetTvurcuVysledku
2
n4:projekt
n12:GD402%2F09%2FH045 n12:GAP402%2F10%2F1610 n12:GA402%2F09%2F0965
n4:rokUplatneniVysledku
n10:2011
n4:tvurceVysledku
Vácha, Lukáš Baruník, Jozef
n4:typAkce
n18:EUR
n4:wos
000309074600004
n4:zahajeniAkce
2011-09-06+02:00
n4:zamer
n17:AV0Z10750506
s:numberOfPages
6
n16:hasPublisher
Proffesional publishing
n21:isbn
978-80-7431-058-4