Asymmetry and nonlinearity in forecasting multivariate stock market volatility:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Augsburg
2015
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| Subjects: | |
| Online Access: | https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 Volltext Inhaltsverzeichnis |
| Physical Description: | i, 44 Seiten Diagramme |
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| 245 | 1 | 0 | |a Asymmetry and nonlinearity in forecasting multivariate stock market volatility |c vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
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| adam_text | Contents
Contents i
1 Introduction 1
1.1 Decompositions of the realized covariance matrix.......................... 3
1.2 A vine copula approach for predicting multivariate realized volatility ... 5
1.3 Investor attention and stock market volatility............................ 7
2 Article 1: Pitfalls of the Cholesky decomposition for forecasting mul-
tivariate volatility 14
2.1 Introduction............................................................. 15
2.2 Decomposition of the realized covariance matrix.......................... 17
2.2.1 Cholesky decomposition............................................. 18
2.2.2 Matrix exponential transformation...................................19
2.2.3 HAR model...........................................................20
2.2.4 Forecasting and bias correction.....................................22
2.2.5 Loss functions and the MCS..........................................23
2.3 Empirical study...........................................................25
2.3.1 Data and descriptive statistics ....................................25
2.3.2 Optimal odering.....................................................27
2.3.3 Modeling and forecasting procedure..................................28
2.3.4 Statistically testing forecast performance..........................31
2.4 Conclusion ...............................................................32
Appendix 33
3 Article 2: A multivariate volatility vine copula model 39
4 Article 3: Forecasting volatility with empirical similarity and Google
Trends 40
5 Summary and outlook
41
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| spelling | Heiden, Moritz Daniel Verfasser aut Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden Augsburg 2015 i, 44 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Universität Augsburg 2015 Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kopula Mathematik (DE-588)4529954-7 s Prognoseverfahren (DE-588)4358095-6 s Volatilität (DE-588)4268390-7 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:384-opus4-34176 https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 Resolving-System https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417 Verlag kostenfrei Volltext Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Heiden, Moritz Daniel Asymmetry and nonlinearity in forecasting multivariate stock market volatility Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4358095-6 (DE-588)4268390-7 (DE-588)4529954-7 (DE-588)4113937-9 |
| title | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_auth | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_exact_search | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_full | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_fullStr | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_full_unstemmed | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_short | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_sort | asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| topic | Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Prognoseverfahren Volatilität Kopula Mathematik Hochschulschrift |
| url | https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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