IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-05014-0_34.html
   My bibliography  Save this book chapter

BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Alessia Naccarato

    (University of Roma Tre, Department of Economics)

  • Andrea Pierini

    (University of Roma Tre, Department of Economics)

Abstract

The use of a BEKK (Baba-Engle-Kraft-Kroner) model is proposed to estimate the volatility of a set of financial historical series with a view to the selection of a stock portfolio. An individual element on the diagonal of the volatility matrix is estimated by applying the model to the series of log returns both of the share i to which it refers and of the market index. An extra-diagonal element is instead estimated by using in the model the covariances between the series of log returns of the two shares i and j to which the element of the volatility matrix corresponds. The procedure proposed for the estimation of volatility was applied to the series of monthly stock log returns of 150 shares of major value traded on the Italian market between 1 January 1975 and 31 August 2011 and the Markowitz portfolio is simulated.

Suggested Citation

  • Alessia Naccarato & Andrea Pierini, 2014. "BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 145-148, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_34
    DOI: 10.1007/978-3-319-05014-0_34
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-05014-0_34. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.