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Università della Svizzera italiana

Synchronizing multivariate financial time series

Audrino, Francesco ; Bühlmann, Peter

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...

Università della Svizzera italiana

A multivariate FGD technique to improve VaR computation in equity markets

Audrino, Francesco ; Barone-Adesi, Giovanni

We present a multivariate, non-parametric technique for constructing reliable daily VaR predictions for individual assets belonging to a common equity market segment, which takes also into account the possible dependence structure between the assets and is still computationally feasible in large dimensions. The procedure is based on functional gradient descent (FGD) estimation for the volatility...

2 risultati 1