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2009-10-21Buch DOI: 10.18452/4214
A blocking and regularization approach to high dimensional realized covariance estimation
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorKyj, Lada M.
dc.contributor.authorOomen, Roel C.A.
dc.date.accessioned2017-06-16T00:00:13Z
dc.date.available2017-06-16T00:00:13Z
dc.date.created2010-05-21
dc.date.issued2009-10-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4866
dc.description.abstractWe introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven grouping of assets of similar trading frequency ensures the reduction of data loss due to refresh time sampling. In an extensive simulation study mimicking the empirical features of the S&P 1500 universe we show that the ’RnB’ estimator yields efficiency gains and outperforms competing kernel estimators for varying liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S&P 500 index confirms the simulation results.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcovariance estimationeng
dc.subjectblockingeng
dc.subjectrealized kerneleng
dc.subjectregularizationeng
dc.subjectmicrostructureeng
dc.subjectasynchronous tradingeng
dc.subject.ddc330 Wirtschaft
dc.titleA blocking and regularization approach to high dimensional realized covariance estimation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100110776
dc.identifier.doihttp://dx.doi.org/10.18452/4214
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue49
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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