2012 Fiscal Year Final Research Report
Modeling and Forecasting Realized Covariance
| Project/Area Number |
23730218
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Soka University |
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Principal Investigator |
ASAI Manabu 創価大学, 経済学部, 教授 (90319484)
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| Project Period (FY) |
2011 – 2012
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| Keywords | 実現ボラティリティ / 実現共分散 / 予測力 |
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| Research Abstract |
Recent years, there has been growing attentions on the analysis of realized volatility. Regarding realized covariance, which is the multivariate version of realized variance, I suggested several new models and compared forecasting performances with existing models. I found that the new models improve the predictability of portfolio risk of financial assets.
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