dc.contributor.author | Acosta-González, Eduardo | de |
dc.contributor.author | Fernández-Rodríguez, Fernando | de |
dc.contributor.author | Andrada-Félix, Julián | de |
dc.date.accessioned | 2011-04-01T04:07:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:58Z | |
dc.date.available | 2012-08-29T23:07:58Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/24122 | |
dc.description.abstract | In this paper 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 (NYSE) and the Madrid Stock Exchange Index (MSEI). | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction | |
dc.title | Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Applied Economics | de |
dc.source.volume | 41 | de |
dc.publisher.country | USA | |
dc.source.issue | 26 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Political Economy | en |
dc.subject.classoz | Volkswirtschaftslehre | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-241225 | de |
dc.date.modified | 2011-04-04T12:16:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 3437-3445 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090300 | |
internal.identifier.journal | 21 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/00036840701439371 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |