Back
Texte intégral
Preprint

Synchronizing multivariate financial time series

  • Audrino, Francesco Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Bühlmann, Peter Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2002

23 p

CCC-GARCH model
Expected shortfall
Multivariate time series
Likelihood estimation
Value at Risk.
English Prices or returns of financial assets are most often collected in local times of the trading markets. The need to synchronize multivariate time series of financial prices or returns is motivated by the fact that information continues to flow for closed markets while others are still open. We propose here a synchronization technique which takes this into account. Besides the nice interpretation of synchronization, the method potentially increases the predictive performance of any reasonable model and is more appropriate for the calculation of portfolio risk measures such as for example the expected shortfall. We found empirically that this was the case for the CCC-GARCH(1,1) model for a 7-dimensional time series of daily exchange rate returns. Since multivariate analysis is generally important for analyzing time-changing portfolios and for better portfolio predictions (even when portfolio weights are time-constant), synchronization is a valuable technique for a variety of problems with multivariate financial data.
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 5232
  • ARK ark:/12658/srd1317986
Persistent URL
https://n2t.net/ark:/12658/srd1317986
Statistics
Document views: 81 File downloads:
  • 1_fin0206.pdf: 229