Hartkopf, Jan Patrick (2020). Modeling and Forecasting of Realized Covariance Matrices of Asset Returns using State-Space Models. PhD thesis, Universität zu Köln.

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Abstract

This thesis comprises three self-contained essays on the modeling and prediction of realized covariance matrices of asset returns using state-space models.

Item Type: Thesis (PhD thesis)
Translated title:
Title
Language
Modellierung und Prognose Realisierter Kovarianzmatrizen von Aktienrenditen mittels Zustandsraummodellen
German
Translated abstract:
Abstract
Language
Diese Dissertation umfasst drei selbstständige Essays über die Modellierung und Prognose realisierter Kovarianzmatrizen von Aktienrenditen mittels Zustandsraummodellen.
German
Creators:
Creators
Email
ORCID
ORCID Put Code
Hartkopf, Jan Patrick
jan.hartkopf@gmail.com
UNSPECIFIED
UNSPECIFIED
URN: urn:nbn:de:hbz:38-465262
Date: 2020
Language: English
Faculty: Faculty of Management, Economy and Social Sciences
Divisions: Faculty of Management, Economics and Social Sciences > Economics > Econometrics and Statistics > Professorship for Statistics and Econometrics
Subjects: General statistics
Uncontrolled Keywords:
Keywords
Language
Realized Covariance
English
Wishart distribution
English
Riesz distribution
English
State-space model
English
Bayesian Econometrics
English
Date of oral exam: 29 April 2021
Referee:
Name
Academic Title
Liesenfeld, Roman
Prof. Dr.
Breitung, Jörg
Prof. Dr.
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/46526

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