High-dimensional penalized ARCH processes

DOI10.1080/07474938.2020.1761153MaRDI QIDQ5861049zbMATH OpenOpenAlexFDO

Authors Benjamin Poignard, Jean-David Fermanian

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2020.1761153

zbMATH Keywords

stationaritypositive definitenessmultivariate ARCHsparse group Lasso

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• A factor-GARCH model for high dimensional volatilities
• Asymptotic filtering theory for multivariate ARCH models
• Multivariate rotated ARCH models
• Semi- and nonparametric ARCH processes
• The statistical properties of the innovations in multivariate ARCH processes in high dimensions

Cites work

• scientific article; zbMATH DE number 6438182 (Why is no real title available?)
• ARCH models and financial applications
• Asymptotic theory of the adaptive sparse group Lasso
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Asymptotics of Cholesky GARCH models and time-varying conditional betas
• Bounds for eigenvalues of matrix polynomials
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• High dimensional covariance matrix estimation using a factor model
• Multivariate Stochastic Volatility: A Review
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(4)

• Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
• High‐dimensional sparse multivariate stochastic volatility models
• Semi- and nonparametric ARCH processes
• The statistical properties of the innovations in multivariate ARCH processes in high dimensions

Describes a project that uses

Uses Software

• glasso

This page was built for publication: High-dimensional penalized ARCH processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5861049)