Multivariate volatility models

MaRDI QIDQ5326969zbMATH OpenFDO

Authors Ruey S. Tsay

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702815

zbMATH Keywords

BEKK modelsmultivariate GARCH modelspositive definite matricesvolatility series

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(25)

• A multivariate stochastic volatility model with applications in the foreign exchange market
• A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
• Mean-variance analysis and the modified market portfolio
• Random coefficient volatility models
• Analysis of high dimensional multivariate stochastic volatility models
• A multiple indicators model for volatility using intra-daily data
• Multivariate time series models for asset prices
• scientific article; zbMATH DE number 7234889 (Why is no real title available?)
• A multifactor volatility Heston model
• Multivariate Volatility Models
• Multivariate Stochastic Volatility
• Index volatility and the put-call ratio: a tale of three markets
• Characterizations of multinormality and corresponding tests of fit, including for GARCH models
• Multivariate Stochastic Volatility Models with Correlated Errors
• Proximity-structured multivariate volatility models
• Dynamic correlation multivariate stochastic volatility with latent factors
• Unrestricted, restricted, and regularized models for forecasting multivariate volatility
• The multivariate fractional Ornstein-Uhlenbeck process
• Efficient estimation of a multivariate multiplicative volatility model
• Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
• Volatility, risk modeling and utility
• Common volatility and correlation clustering in asset returns
• Multivariate volatility in environmental finance
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models
• The impact of general non-parametric volatility functions in multivariate GARCH models

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