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183. Utilizing realized covariance estimators in finding safe haven evidence
Invited abstract in session TC-57: Market dynamics and implications for portfolio decisions, stream Modern Decision Making in Finance and Insurance.
Tuesday, 12:30-14:00Room: S06 (building: 101)
Authors (first author is the speaker)
| 1. | Josip Arneric
|
| Faculty of Economics and Business, University of Zagreb | |
| 2. | Tea Šestanović
|
| Department of Quantitative Methods, University of Split |
Abstract
In the recent literature, an extensive application of realized covariance has been documented, which plays a key role in optimal allocation of various assets within contemporary portfolio management. The advantage of realized covariance, against alternative measures, is utilizing intraday high-frequency data observed over short intervals. Using this approach unknown integrated covariance matrix of a multivariate diffusion process can be estimated. This research is focused on modeling realized covariance between the EUROSTOXX50 index of Eurozone and gold, aiming to explore the characteristics of gold as a safe haven during crisis periods (including the COVID-19 pandemic and the Ukrainian war). In this context, the primary goal is to determine data properties, such as asynchronicity and the presence of microstructural noise and price jumps of return series. Subsequently, a suitable synchronization scheme and optimal sampling frequency will be chosen to eliminate these issues. To determine which estimator provides an unbiased and consistent estimation of realized covariance between the EUROSTOXX50 index and gold for investigating the safe-haven property, six covariance estimators will be compared: realizied covariance (RCOV), realized bipower covariance (RBPCOV), realized threshold coavraiance (RTCOV), realized outlyings weighte covariance (ROWCOV), robust realized two times sacled coavraiance (RRTSCOV) and Hayashi-Yoshida realized covariance (HYRCOV).
Keywords
- Practice of OR
- Financial Modelling
- Risk Analysis and Management
Status: accepted
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