Universität zu Köln

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