A multivariate realized GARCH model

DOI10.1016/J.JECONOM.2025.106040MaRDI QIDQ6854608zbMATH OpenFDO

Authors Ilya Archakov, Peter Reinhard Hansen, Asger Lunde

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106040

zbMATH Keywords

block correlation matrixcorrelation factor modelmultivariate GARCHrealized measures

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(2)

• Cluster GARCH
• Network-Assisted High-Dimensional Factor Model Estimation

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