Multivariate leverage effects and realized semicovariance GARCH models
DOI10.1016/J.JECONOM.2019.12.011zbMATH Open1456.62271OpenAlexW2955117967WikidataQ126304553 ScholiaQ126304553MaRDI QIDQ2190232FDOQ2190232
Andrew J. Patton, Tim Bollerslev, Rogier Quaedvlieg
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.12.011
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (9)
- From zero to hero: realized partial (co)variances
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
- Asymmetric Multivariate Stochastic Volatility
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Editorial: Nonlinear financial econometrics JoE special issue introduction
- Realized BEKK-CAW models
- Time-varying multivariate causal processes
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