ESTIMATING TIME-VARYING VARIANCES AND COVARIANCES VIA NEAREST NEIGHBOUR MULTIVARIATE PREDICTIONS: APPLICATIONS TO THE NYSE AND THE MADRID STOCK EXCHANGE INDEX

Eduardo Acosta-González (1) , Fernando Fernández-Rodríguez (2) , Julián Andrada-Félix (1)

1 Quantitative Methods in Economics and Management
2 Quantitative Methods in Economics and Management

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).

Mots clés: Social Sciences & Humanities

Eduardo Acosta-González, Fernando Fernández-Rodríguez, Julián Andrada-Félix. ESTIMATING TIME-VARYING VARIANCES AND COVARIANCES VIA NEAREST NEIGHBOUR MULTIVARIATE PREDICTIONS: APPLICATIONS TO THE NYSE AND THE MADRID STOCK EXCHANGE INDEX. Applied Economics, 2009, 41 (26), pp.3437-3445. ⟨10.1080/00036840701439371⟩. ⟨hal-00582118⟩