Variance clustering improved dynamic conditional correlation MGARCH estimators

DOI10.1016/j.csda.2013.01.029zbMath1506.62008OpenAlexW2159931552MaRDI QIDQ1623552

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

zbMATH Keywords

composite likelihoodmultivariate GARCHtime series clusteringdynamic conditional correlations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

The uncertainty of conditional returns, volatilities and correlations in DCC models, A scalar dynamic conditional correlation model: structure and estimation, Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns, Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series

Uses Software

• CAViaR

Cites Work

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