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Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis

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  • Maria Elvira Mancino
  • Roberto Reno

Abstract

A method is proposed to compute a time-varying correlation matrix between asset prices. The method has a natural geometric interpretation in terms of dynamic principal components analysis. The paper illustrates, via Monte Carlo experiments and data analysis, the potential of the method in computing cross-correlations; and it describes market integration, introducing the concept of reference asset.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 12 (2005)
Issue (Month): 2 ()
Pages: 187-199

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Handle: RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199

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Related research

Keywords: Cross-volatilities; Fourier series; dynamic principal component analysis;

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Cited by:
  1. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.

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