Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data

Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data

IntroductionRealized volatility analysis of assets in the Brazilian market within a multivariate framework is the focus of this study. Despite the success of volatility models in univariate scenarios, challenges arise due to increasing dimensionality of covariance matrices and lower asset liquidity...

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Bibliographic Details
Main Authors: Leonardo Ieracitano Vieira, Márcio Poletti Laurini
Format: Article
Language:English
Published: Frontiers Media S.A. 2024-04-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
realized volatility
shrinkage
high-frequency data
penalized estimation
LASSO
Ridge
Online Access:https://www.frontiersin.org/articles/10.3389/fams.2024.1379891/full

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