Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

DOI10.1198/JBES.2009.07057zbMath1214.62035OpenAlexW2124213464MaRDI QIDQ5392690

Aman Ullah, Liangjun Su, Xiangdong Long

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1332

zbMATH Keywords

portfoliospecification testmultivariate GARCHsemiparametric estimatorconditional covariance matrix

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (9)

Averaging estimation for conditional covariance models ⋮ Bayesian semiparametric multivariate GARCH modeling ⋮ A semiparametric conditional duration model ⋮ Semiparametric model for covariance regression analysis ⋮ Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach ⋮ Disentangling systematic and idiosyncratic dynamics in panels of volatility measures ⋮ Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination ⋮ A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model ⋮ Dynamic Latent Class Model Averaging for Online Prediction

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