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Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis

Author

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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.

Suggested Citation

  • Maria Elvira Mancino & Roberto Reno, 2005. "Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 187-199.
    • Handle: RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199
    DOI: 10.1080/1350486042000255861
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    Cited by:

    1. Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.

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