Multivariate rotated ARCH models (Q2512636): Difference between revisions

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+A generalized dynamic conditional correlation model for portfolio risk evaluation
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+Method of moments estimation of GO-GARCH models
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+A component model for dynamic correlations
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+Asymptotic theory for multivariate GARCH processes.
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+High-dimensional covariance matrix estimation in approximate factor models
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+Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
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+Tests of Conditional Predictive Ability
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+A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
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+On asymptotic theory for multivariate GARCH models
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+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Multivariate GARCH Models
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+Maximization by Parts in Likelihood Inference
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+Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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