Multivariate GARCH estimation via a Bregman-proximal trust-region method

DOI10.1016/j.csda.2012.10.020zbMath1506.62045arXiv1101.5475OpenAlexW3121952473MaRDI QIDQ1623522

Stéphane Chrétien, Juan-Pablo Ortega

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5475

zbMATH Keywords

constrained optimizationmultivariate GARCHvolatility modelingBregman divergencesmultivariate financial time seriesBurg's divergenceLogDet divergenceVEC model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Estimation and empirical performance of non-scalar dynamic conditional correlation models, Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data, A closed-form estimator for the multivariate GARCH(1,1) model, Feasible generalized least squares estimation of multivariate GARCH(1,1) models, Unrestricted maximum likelihood estimation of multivariate realized volatility models, Improving forecasts with the co-range dynamic conditional correlation model

Uses Software

• RiskMetrics

Cites Work

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