Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48006
Title: Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: Applications to the NYSE and the Madrid stock exchange index
Authors: Acosta González, Eduardo 
Andrada Félix, Julián 
Fernández Rodríguez, Fernando 
UNESCO Clasification: 5302 Econometría
Keywords: Análisis de series temporales
Modelos económetricos
Issue Date: 2009
Publisher: 0003-6846
Journal: Applied economics (Print) 
Abstract: In this article, we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange and the Madrid Stock Exchange Index
URI: http://hdl.handle.net/10553/48006
ISSN: 0003-6846
DOI: 10.1080/00036840701439371
Source: Applied Economics[ISSN 0003-6846],v. 41, p. 3437-3445
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

1
checked on Aug 1, 2021

WEB OF SCIENCETM
Citations

1
checked on Aug 1, 2021

Page view(s)

31
checked on Jul 31, 2021

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.