Matrix exponential GARCH

DOI10.1016/J.JECONOM.2005.06.023MaRDI QIDQ278044zbMATH OpenOpenAlexFDO

Authors Hiroyuki Kawakatsu

Publication date 2 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.023

zbMATH Keywords

matrix exponentialmultivarate GARCHnon-nested tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(16)

• scientific article; zbMATH DE number 7660124 (Why is no real title available?)
• Sequential conditional correlations: inference and evaluation
• Forecasting multivariate realized stock market volatility
• The Jacobian of the exponential function
• Matrix exponential stochastic volatility with cross leverage
• A Student-\(t\) full factor multivariate GARCH model
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• A dynamic conditional score model for the log correlation matrix
• Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
• Efficient estimation of a multivariate multiplicative volatility model
• Break detection in the covariance structure of multivariate time series models
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• MULTIVARIATE ECOGARCH PROCESSES

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