Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

In this article, we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange and the Madrid Stock Exchange Index.

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Year of publication:	2009
Authors:	Acosta-Gonzalez, Eduardo ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 41.2009, 26, p. 3437-3445
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008583002