Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management

DOI10.1016/J.JECONOM.2020.04.040MaRDI QIDQ2116329zbMATH OpenOpenAlexFDO

Authors Mike K. P. So, Thomas W. C. Chan, Amanda M. Y. Chu

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.040

zbMATH Keywords

multivariate GARCHrisk contributiontail riskdynamic mappingdynamic covariance modeling

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(4)

• Adjusting covariance matrix for risk management
• Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
• scientific article; zbMATH DE number 7234436 (Why is no real title available?)
• Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution

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