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

DOI10.1016/J.ECONLET.2017.04.020MaRDI QIDQ1673539zbMATH OpenOpenAlexFDO

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

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

GARCHlarge conditional covariance matrixmultivariate GARCH

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(3)

• On conditional covariance modelling: an approach using state space models
• A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
• A Simple Method for Predicting Covariance Matrices of Financial Returns

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