Online Program Home
  My Program

Abstract Details

Activity Number: 604 - Recent Advances in High-Frequency and High-Dimensional Time Series
Type: Topic Contributed
Date/Time: Thursday, August 3, 2017 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #324804 View Presentation
Title: Multivariate Models of Realized Beta and Stochastic Volatility
Author(s): Katherine Ensor*
Companies: Rice University
Keywords: realized covariance ; finance

Modeling the realized variance and covariance is an important component of understanding stock markets. We develop a multivariate stochastic covariance model based on the realized covariance estimated from higher frequency pricing data. Our model includes realized estimates of beta, thereby capturing the individual contribution to our optimal portfolio when considering a basket of stocks. Our methods will take into account the potential for extreme values across markets. We will apply our methods to the natural gas futures market of North America.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2017 program

Copyright © American Statistical Association