Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329): Difference between revisions

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English	Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management	scientific article

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instance of

scholarly article

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title

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (English)

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Journal of Econometrics

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publication date

16 March 2022

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zbMATH Keywords

dynamic covariance modeling

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dynamic mapping

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multivariate GARCH

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risk contribution

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tail risk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2020.04.040

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cites work

The structure of dynamic correlations in multivariate stochastic volatility models

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Multivariate Stochastic Volatility: A Review

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A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations

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Generalized autoregressive conditional heteroscedasticity

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Multivariate Stochastic Volatility

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Estimating Multivariate Volatility Models Equation by Equation

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Autoregressive conditional heteroskedasticity and changes in regime

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Copula-based multivariate GARCH model with uncorrelated dependent errors

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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

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GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION

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Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets

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Estimation of multiple period expected shortfall and median shortfall for risk management

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Vine-copula GARCH model with dynamic conditional dependence

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Multivariate <scp>GARCH</scp> Models with Correlation Clustering

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A full-factor multivariate GARCH model

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Q4450671

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Identifiers

DOI

10.1016/j.jeconom.2020.04.040

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2116329

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2020.04.040
+Normal rank
@@ Property / OpenAlex ID @@
+W3033219375
@@ Property / OpenAlex ID: W3033219375 / rank @@
+Normal rank
@@ Property / cites work @@
+The structure of dynamic correlations in multivariate stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility: A Review
@@ Property / cites work: Multivariate Stochastic Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility
@@ Property / cites work: Multivariate Stochastic Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Estimating Multivariate Volatility Models Equation by Equation
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+Copula-based multivariate GARCH model with uncorrelated dependent errors
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
+Normal rank
@@ Property / cites work @@
+Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
+Normal rank
@@ Property / cites work @@
+Estimation of multiple period expected shortfall and median shortfall for risk management
+Normal rank
@@ Property / cites work @@
+Vine-copula GARCH model with dynamic conditional dependence
+Normal rank
@@ Property / cites work @@
+Multivariate <scp>GARCH</scp> Models with Correlation Clustering
+Normal rank
@@ Property / cites work @@
+A full-factor multivariate GARCH model
@@ Property / cites work: A full-factor multivariate GARCH model / rank @@
+Normal rank
@@ Property / cites work @@
+Q4450671
@@ Property / cites work: Q4450671 / rank @@
+Normal rank