Modelling Multivariate Volatilities via Conditionally Uncorrelated Components

DOI10.1111/J.1467-9868.2008.00654.XMaRDI QIDQ3631467zbMATH OpenOpenAlexFDO

Authors Mingjin Wang, Qiwei Yao, Jianqing Fan

Publication date 10 June 2009

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0506027

zbMATH Keywords

bootstrap testcausality in variancedimension reductionextended GARCH(1, 1) modelfinancial returnsportfolio volatilityquasi-maximum-likelihood estimatortime series

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• scientific article; zbMATH DE number 3274385 (Why is no real title available?)
• Least absolute deviations estimation for ARCH and GARCH models
• Minimum volume sets and generalized quantile processes
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• Multivariate Stochastic Variance Models
• Nonlinear time series. Nonparametric and parametric methods
• Rates of convergence for empirical processes of stationary mixing sequences
• Regime switching for dynamic correlations
• Weak convergence and empirical processes. With applications to statistics

Cited in

(20)

• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Asymptotics of Cholesky GARCH models and time-varying conditional betas
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• Modeling temporally uncorrelated components of complex-valued stationary processes
• Multivariate rotated ARCH models
• Regularization for stationary multivariate time series
• Weighted scatter estimation method of the GO-GARCH models
• Efficient factor GARCH models and factor-DCC models
• Determining the number of factors in a multivariate error correction-volatility factor model
• Bayesian inference of multivariate rotated GARCH models with skew returns
• Stable mixture GARCH models
• Dynamic conditional eigenvalue GARCH
• Unrestricted, restricted, and regularized models for forecasting multivariate volatility
• Modelling multivariate volatilies via conditionally uncorrelated components
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
• Multiple measures realized GARCH models
• Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
• Recurrent neural network go-GARCH model for portfolio selection
• Method of moments estimation of GO-GARCH models
• Principal component analysis for second-order stationary vector time series

Describes a project that uses

Uses Software

• FinTS

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