Cluster GARCH
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Cites work
- A dynamic conditional score model for the log correlation matrix
- A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
- A multivariate realized GARCH model
- A New Parametrization of Correlation Matrices
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian estimation of cluster covariance matrices of unknown form
- Characterizing correlation matrices that admit a clustered factor representation
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic Conditional Correlation: On Properties and Estimation
- Dynamic Equicorrelation
- Dynamic factor copula models with estimated cluster assignments
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Fitting Vast Dimensional Time-Varying Covariance Models
- Generalized autoregressive conditional heteroscedasticity
- Heavy-tailed distributions and robustness in economics and finance
- High dimensional dynamic stochastic copula models
- Large Dynamic Covariance Matrices
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
- Multivariate stochastic volatility models based on generalized Fisher transformation
- Multivariate T-Distributions and Their Applications
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- The Model Confidence Set
- The t Copula and Related Copulas
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