Modeling covariance breakdowns in multivariate GARCH

DOI10.1016/j.jeconom.2016.03.003zbMath1431.62387OpenAlexW1879440715MaRDI QIDQ2630346

John M. Maheu, Xin Jin

Publication date: 27 July 2016

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

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp36_14.pdf

zbMATH Keywords

Markov chainmarginal likelihoodgeneralized varianceparticle filtercorrelation breakdown

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items

On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices

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