Multivariate GARCH models for large-scale applications: a survey

DOI10.1016/BS.HOST.2019.01.001MaRDI QIDQ5116815zbMATH OpenOpenAlexFDO

Authors Alexios Galanos, Scott Payseur, Eric Zivot, Leopoldo Catania

Publication date 18 August 2020

Published in Handbook of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/bs.host.2019.01.001

zbMATH Keywords

comovementdistributionmultivariate GARCHtime seriesvolatility

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cited in

(11)

• Robust ranking of multivariate GARCH models by problem dimension
• Estimation and decomposition of food price inflation risk
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
• On the parametrization of multivariate GARCH models
• A practical multivariate approach to testing volatility spillover
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
• Recurrent neural network go-GARCH model for portfolio selection
• A test for time-varying smooth transition conditional covariance models in multivariate time series
• Regularizing stock return covariance matrices via multiple testing of correlations
• Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing

Describes a project that uses

Uses Software

• R
• MFE toolbox
• GAS
• ccgarch

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