On conditional covariance modelling: an approach using state space models
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Cites work
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 1077338 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Analysis of Financial Time Series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Introduction to Time Series and Forecasting
- Joint forecasts of Dow Jones stocks under general multivariate loss function
- Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
- On the estimation of dynamic conditional correlation models
- Time series analysis by state space methods
Cited in
(4)- Analysis of conditional covariance structure models
- Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture
- A structured variational learning approach for switching latent factor models
- Stochastic multivariate mixture covariance model
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