Efficient factor GARCH models and factor-DCC models

DOI10.1080/14697680802039840zbMath1171.91336OpenAlexW2018936783MaRDI QIDQ3182650

Lai Wan Chan, Kun Zhang

Publication date: 12 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802039840

zbMATH Keywords

statistical learning theorystatistical methodscomputational financebehavioural finance

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Causality in Linear Nongaussian Acyclic Models in the Presence of Latent Gaussian Confounders ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Independent Factor Autoregressive Conditional Density Model

Uses Software

• CAViaR
• MFE toolbox

Cites Work

• CAViaR
• ARCH modeling in finance. A review of the theory and empirical evidence
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Generalized autoregressive conditional heteroscedasticity
• Entropy and predictability of stock market returns.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A test for independence based on the correlation dimension
• Jacobi Angles for Simultaneous Diagonalization

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