Variance clustering improved dynamic conditional correlation MGARCH estimators
DOI10.1016/J.CSDA.2013.01.029zbMATH Open1506.62008OpenAlexW2159931552MaRDI QIDQ1623552FDOQ1623552
Authors: Gian Piero Aielli, Massimiliano Caporin 
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://economia.unipd.it/sites/economia.unipd.it/files/20110133.pdf
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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)
Cites Work
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- A long-run pure variance common features model for the common volatilities of the Dow Jones
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- On loss functions and ranking forecasting performances of multivariate volatility models
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- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- Identifying financial time series with similar dynamic conditional correlation
Cited In (12)
- Multivariate GARCH models with correlation clustering
- Computational finance: correlation, volatility, and markets
- Fast clustering of GARCH processes via Gaussian mixture models
- Identifying financial time series with similar dynamic conditional correlation
- Analysis of dynamic correlation of Japanese stock returns with network clustering
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- A scalar dynamic conditional correlation model: structure and estimation
- Bayesian Clustering of Many Garch Models
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Estimating VAR-MGARCH models in multiple steps
- A GARCH-variance dependent approach to modelize dynamic conditional correlations
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