Sequential conditional correlations: inference and evaluation

DOI10.1016/j.jeconom.2009.05.002zbMath1431.62407OpenAlexW2089540673MaRDI QIDQ2630121

Alessandro Palandri

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.05.002

zbMATH Keywords

sequential estimationmultivariate GARCHconditional correlationshigh-dimensional GARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Weighted scatter estimation method of the GO-GARCH models ⋮ On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Joint forecasts of Dow Jones stocks under general multivariate loss function ⋮ FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA ⋮ Positive semidefinite integrated covariance estimation, factorizations and asynchronicity ⋮ Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations ⋮ Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation

Cites Work

• Matrix exponential GARCH
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Volatility forecast comparison using imperfect volatility proxies
• Asymptotic theory for multivariate GARCH processes.
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Threshold heteroskedastic models

This page was built for publication: Sequential conditional correlations: inference and evaluation