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

DOI10.1016/J.JECONOM.2020.04.040OpenAlexW3033219375MaRDI QIDQ2116329FDOQ2116329

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

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

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Estimating Multivariate Volatility Models Equation by Equation
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility: A Review
• The structure of dynamic correlations in multivariate stochastic volatility models
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• A full-factor multivariate GARCH model
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
• Estimation of multiple period expected shortfall and median shortfall for risk management
• Title not available (Why is that?)
• Vine-copula GARCH model with dynamic conditional dependence
• A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
• Multivariate <scp>GARCH</scp> Models with Correlation Clustering

Cited In (4)

• Adjusting covariance matrix for risk management
• Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
• Title not available (Why is that?)
• Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution

This page was built for publication: Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116329)