Multivariate Volatility Models

DOI10.1007/978-3-540-69179-2_15MaRDI QIDQ3542264zbMATH OpenOpenAlexFDO

Authors Helmut Herwartz, Matthias R. Fengler

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/4278

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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• A multiple indicators model for volatility using intra-daily data
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• Efficient estimation of a multivariate multiplicative volatility model
• Multivariate Stochastic Volatility
• On loss functions and ranking forecasting performances of multivariate volatility models
• Copula-MGARCH with continuous covariance decomposition

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