Multivariate leverage effects and realized semicovariance GARCH models

DOI10.1016/J.JECONOM.2019.12.011MaRDI QIDQ2190232zbMATH OpenOpenAlexWikidataFDO

Authors Tim Bollerslev, Andrew J. Patton, 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

zbMATH Keywords

realized volatilityhigh-frequency datarealized correlationasymmetric dependencesemivariance

Mathematics Subject Classification ID

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)

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Cites work

• A general multivariate threshold GARCH model with dynamic conditional correlations
• Asymptotic theory for multivariate GARCH processes.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Efficient two-step estimation via targeting
• Estimation and empirical performance of non-scalar dynamic conditional correlation models
• Generalized autoregressive conditional heteroscedasticity
• HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data
• Measuring downside risk -- realized semivariance
• Model selection tests for nonlinear dynamic models
• Modeling and forecasting realized covariance matrices with accounting for leverage
• Multivariate stochastic volatility, leverage and news impact surfaces
• Nonlinear Dynamic Structures
• On loss functions and ranking forecasting performances of multivariate volatility models
• QML estimation of a class of multivariate asymmetric GARCH models
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• The Model Confidence Set
• Threshold heteroskedastic models
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(13)

• Realized semicovariances
• From zero to hero: realized partial (co)variances
• Asymmetric Multivariate Stochastic Volatility
• Leverage effect for volatility with generalized Laplace error
• A Simple Method for Predicting Covariance Matrices of Financial Returns
• Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
• 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
• Multivariate stochastic volatility, leverage and news impact surfaces
• Editorial: Nonlinear financial econometrics JoE special issue introduction
• Realized BEKK-CAW models
• Modeling and forecasting realized covariance matrices with accounting for leverage
• Time-varying multivariate causal processes

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