Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
AbstractA new multivariate random walk model with slowly changing parameters is introduced and investigated in detail. Nonparametric estimation of local covariance matrix is proposed. The asymptotic distributions, including asymptotic biases, variances and covariances of the proposed estimators are obtained. The properties of the estimated value of a weighted sum of individual nonparametric estimators are also studied in detail. The integrated effect of the estimation errors from the estimation for the difference series to the integrated processes is derived. Practical relevance of the model and estimation is illustrated by application to several foreign exchange rates.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1597.
Date of creation: 2006
Date of revision:
Multivariate time series; slowly changing vector random walk; local covariance matrix; kernel estimation; asymptotic properties; forecasting;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G00 - Financial Economics - - General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-10 (All new papers)
- NEP-ECM-2007-02-10 (Econometrics)
- NEP-ETS-2007-02-10 (Econometric Time Series)
- NEP-FOR-2007-02-10 (Forecasting)
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