A suggestion for constructing a large time-varying conditional covariance matrix

DOI10.1016/j.econlet.2017.04.020zbMath1400.62175OpenAlexW2609119222MaRDI QIDQ1673539

Heather D. Gibson, George S. Tavlas, Stephen G. Hall

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/39896

zbMATH Keywords

GARCHmultivariate GARCHlarge conditional covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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