Estimating time-varying variances and covariances via nearest neighbour multivariate predictions : applications to the NYSE and the Madrid Stock Exchange Index

摘要

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).