Gribisch, Bastian, Hartkopf, Jan Patrick and Liesenfeld, Roman (2020). Factor state-space models for high-dimensional realized covariance matrices of asset returns. J. Empir. Financ., 55. S. 1 - 21. AMSTERDAM: ELSEVIER. ISSN 1879-1727

Full text not available from this repository.

Abstract

We propose a dynamic factor state-space model for high-dimensional covariance matrices of asset returns. It makes use of observed risk factors and assumes that the latent integrated joint covariance matrix of the assets and the factors is observed through their realized covariance matrix with a Wishart measurement density. For the latent integrated covariance matrix of the assets we impose a strict factor structure allowing for dynamic variation in the covariance matrices of the factors and the residual components as well as in the factor loadings. This factor structure translates into a factorization of the Wishart measurement density which facilitates statistical inference based on simple Bayesian MCMC procedures making the approach scalable w.r.t. the number of assets. An empirical application to realized covariance matrices for 60 NYSE traded stocks using the Fama-French factors and sector-specific factors represented by Exchange Traded Funds (ETFs) shows that the model performs very well in- and out of sample.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Gribisch, BastianUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Hartkopf, Jan PatrickUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Liesenfeld, RomanUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-351819
DOI: 10.1016/j.jempfin.2019.08.003
Journal or Publication Title: J. Empir. Financ.
Volume: 55
Page Range: S. 1 - 21
Date: 2020
Publisher: ELSEVIER
Place of Publication: AMSTERDAM
ISSN: 1879-1727
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
MULTIVARIATE STOCHASTIC VOLATILITY; ECONOMETRIC-ANALYSIS; LONG-MEMORY; PORTFOLIOSMultiple languages
Business, Finance; EconomicsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/35181

Downloads

Downloads per month over past year

Altmetric

Export

Actions (login required)

View Item View Item