Multivariate GARCH Models
From MaRDI portal
Recommendations
Cited in
(91)- RCA models with GARCH innovations
- Value-at-risk via mixture distributions reconsidered
- Break detection in the covariance structure of multivariate time series models
- Robust ranking of multivariate GARCH models by problem dimension
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- Dynamic factor multivariate GARCH model
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Unfolded GARCH models
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Testing for nonlinearity in conditional covariances
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia
- Emerging markets in the global economic network: real(ly) decoupling?
- Estimation of SEM with GARCH errors
- On the estimation of dynamic conditional correlation models
- The ARMA alphabet soup: a tour of ARMA model variants
- A scalar dynamic conditional correlation model: structure and estimation
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- A Skellam GARCH model
- Estimation of multivariate asymmetric power GARCH models
- Multivariate hyper-rotated GARCH-BEKK
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Bayesian semiparametric multivariate GARCH modeling
- Identifying financial time series with similar dynamic conditional correlation
- Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
- Multivariate rotated ARCH models
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- A functional version of the ARCH model
- On the parametrization of multivariate GARCH models
- Functional generalized autoregressive conditional heteroskedasticity
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- QML estimation of a class of multivariate asymmetric GARCH models
- Parameters measuring bank risk and their estimation
- scientific article; zbMATH DE number 7234889 (Why is no real title available?)
- Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
- Multivariate Volatility Models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Large-scale volatility models: theoretical properties of professionals’ practice
- An Introduction to Univariate GARCH Models
- Varying Coefficient GARCH Models
- scientific article; zbMATH DE number 1222303 (Why is no real title available?)
- On standard inference for GMM with local identification failure of known forms
- GARCH model selection criteria
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
- Two Cholesky-log-GARCH models for multivariate volatilities
- New HSIC-based tests for independence between two stationary multivariate time series
- A stochastic recurrence equations approach for score driven correlation models
- Tests for conditional ellipticity in multivariate GARCH models
- Modeling conditional correlations of asset returns: a smooth transition approach
- Multivariate GARCH models for large-scale applications: a survey
- Stable mixture GARCH models
- On loss functions and ranking forecasting performances of multivariate volatility models
- Portfolio optimization under solvency constraints: a dynamical approach
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- The statistical properties of the innovations in multivariate ARCH processes in high dimensions
- Testing for correlation between two time series using a parametric bootstrap
- Robust parametric tests of constant conditional correlation in a MGARCH model
- Proximity-structured multivariate volatility models
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- scientific article; zbMATH DE number 7686977 (Why is no real title available?)
- Bayesian inference of multivariate-GARCH-BEKK models
- Dynamic conditional eigenvalue GARCH
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- On spatial contagion and multivariate GARCH models
- Fitting Vast Dimensional Time-Varying Covariance Models
- A Bayesian non-stationary heteroskedastic time series model for multivariate critical care data
- Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
- Recurrent neural network go-GARCH model for portfolio selection
- A multivariate realized GARCH model
- Stock price prediction using multidimensional geometric Brownian motion and DCC-GARCH models
- Funding liquidity and stocks' market liquidity: structural estimation from high-frequency data
- A test for time-varying smooth transition conditional covariance models in multivariate time series
- Geometric ergodicity and -mixing of the periodic multivariate BEKK-GARCH model
- Regularizing stock return covariance matrices via multiple testing of correlations
- Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data
- Functional diffusion driven stochastic volatility model
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Tensor changepoint detection and eigenbootstrap
- Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
- Dynamic Conditional Correlations with Partial Information Pooling
- Estimating the signal dimension in multivariate time series using augmented second order source separation methods
- Comparison of value-at-risk models using the MCS approach
- Efficient estimation of a multivariate multiplicative volatility model
- Method of moments estimation of GO-GARCH models
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Estimating VAR-MGARCH models in multiple steps
This page was built for publication: Multivariate GARCH Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3646955)
