Pages that link to "Item:Q4458359"
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The following pages link to A full-factor multivariate GARCH model (Q4458359):
Displaying 30 items.
- Asymmetric conditional correlations in stock returns (Q312957) (← links)
- Cholesky-GARCH models with applications to finance (Q693317) (← links)
- Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
- Method of moments estimation of GO-GARCH models (Q737949) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Factor stochastic volatility with time varying loadings and Markov switching regimes (Q997296) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483) (← links)
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (Q1037795) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Cointegration models with non Gaussian GARCH innovations (Q1640655) (← links)
- On the univariate representation of BEKK models with common factors (Q1695673) (← links)
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329) (← links)
- A Student-\(t\) full factor multivariate GARCH model (Q2655303) (← links)
- Regularization for stationary multivariate time series (Q2873031) (← links)
- Weighted scatter estimation method of the GO-GARCH models (Q2930903) (← links)
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (Q3632428) (← links)
- Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416) (← links)
- Bayesian inference of multivariate rotated GARCH models with skew returns (Q5082768) (← links)
- Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model (Q5127039) (← links)
- Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (Q5433621) (← links)
- IDENTIFICATION OF COVARIANCE STRUCTURES (Q5438202) (← links)
- On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model (Q6064120) (← links)
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
- Bayesian prediction of jumps in large panels of time series data (Q6202925) (← links)
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach (Q6586883) (← links)
- Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility (Q6626286) (← links)
