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%T Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index %A Acosta-González, Eduardo %A Fernández-Rodríguez, Fernando %A Andrada-Félix, Julián %J Applied Economics %N 26 %P 3437-3445 %V 41 %D 2009 %K Nonparametric estimation; Stock Market Indexes; Time-varying variance and covariance prediction %= 2011-04-04T12:16:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241225 %X 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). %C USA %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info