Variance clustering improved dynamic conditional correlation MGARCH estimators
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Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- Bayesian Clustering of Many Garch Models
- Clustering heteroskedastic time series by model-based procedures
- Clustering of time series data -- a survey
- Evaluating Volatility and Correlation Forecasts
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Generalized autoregressive conditional heteroscedasticity
- Identifying financial time series with similar dynamic conditional correlation
- Likelihood functions for inference in the presence of a nuisance parameter
- Nuisance parameters, composite likelihoods and a panel of GARCH models
- On loss functions and ranking forecasting performances of multivariate volatility models
- On the estimation of dynamic conditional correlation models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Cited in
(12)- Fast clustering of GARCH processes via Gaussian mixture models
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Identifying financial time series with similar dynamic conditional correlation
- Computational finance: correlation, volatility, and markets
- Estimating VAR-MGARCH models in multiple steps
- Multivariate GARCH models with correlation clustering
- A scalar dynamic conditional correlation model: structure and estimation
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- Bayesian Clustering of Many Garch Models
- A GARCH-variance dependent approach to modelize dynamic conditional correlations
- Analysis of dynamic correlation of Japanese stock returns with network clustering
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