Long memory and asymmetry for matrix-exponential dynamic correlation processes

DOI10.1515/jtse-2013-0012zbMath1499.62296OpenAlexW2029187785MaRDI QIDQ1695662

Mike K. P. So, Manabu Asai

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.degruyter.com/view/j/jtse.2015.7.issue-1/jtse-2013-0012/jtse-2013-0012.xml?format=INT

zbMATH Keywords

heavy tailslong memoryasymmetric effectsinverse Wishart distributiondynamic correlationmatrix-exponential

Mathematics Subject Classification ID

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

Related Items (5)

A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Unnamed Item ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models

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