Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Authors:
Maria Elvira Mancino a;
Roberto Ren
b
b
| Affiliations: | a DIMAD, Universit di Firenze, |
b Dipartimento di Economia Politica, Universit di Siena, |
DOI:
10.1080/1350486042000255861
Publication Frequency:
6 issues per year
Number of References: 16
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Abstract
A method is proposed to compute a time-varying correlation matrix between asset prices. The method has a natural geometric interpretation in terms of dynamic principal components analysis. The paper illustrates, via Monte Carlo experiments and data analysis, the potential of the method in computing cross-correlations; and it describes market integration, introducing the concept of reference asset.
|
| Keywords: Cross-volatilities; Fourier series; dynamic principal component analysis |
| view references (16) |

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