【摘 要】
：
Since most multivariate volatility models can not satisfy the requirement of risk management of large portfolios,the estimation of dynamic covariance matrix
【机 构】
：
Jinhe Center For Economic Research, Xi'an Jiaotong University
【出 处】
：
2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
Since most multivariate volatility models can not satisfy the requirement of risk management of large portfolios,the estimation of dynamic covariance matrix is always a important and tough job in risk management.This paper constructs a random walk model for the covariance matrix based on realized volatility approach in order to improve the technique of risk management.A comparison study based on Monte Carlo simulation and the empirical study from Shanghai and Shenzhen stock markets both show that:this model outperforms other significantly with much simpler technical requirement.Its application value is confirmed by the failure tests,and the dynamic quartile tests proposed by Engle and Mangenelli (2004) also indicate its great potential of further development.
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