Unrestricted maximum likelihood estimation of multivariate realized volatility models
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Publication:2079416
DOI10.1016/j.ejor.2022.05.029OpenAlexW4280526685MaRDI QIDQ2079416
Publication date: 29 September 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2022.05.029
large scale optimizationrealized covariance matrixhigh-dimensional optimizationdynamic covariance modelsfinancial portfolios
Cites Work
- Analytical quasi maximum likelihood inference in multivariate volatility models
- Estimation of the global minimum variance portfolio in high dimensions
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- Bayesian estimation of the global minimum variance portfolio
- A diagnostic criterion for approximate factor structure
- Numerical Optimization
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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