Application of Realized Volatility Matrix in Asset Allocation Problems – Based on China's Stock Market UHF Data

  •  Shuran Zhao    
  •  Yuxiao Zhao    


This article explores the realized volatility matrix and its model in the classic asset allocation problems. Update time method using UHF data synchronization China's stock market, using three different correction and noise reduction technology get three volatility matrix sequence; sequence through the matrix modeling portray get yields and volatility matrix vector prediction value and apply to asset allocation problem.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1927-517X
  • Issn(Onlne): 1927-5188
  • Started: 2012
  • Frequency: semiannual

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