A full-factor multivariate GARCH model

DOI10.1111/1368-423X.T01-1-00111zbMATH Open1065.91553OpenAlexW2170813608MaRDI QIDQ4458359FDOQ4458359

Authors: I. D. Vrontos, Petros Dellaportas, Dimitris Politis 

Publication date: 17 March 2004

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

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00111

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zbMATH Keywords

maximum likelihood estimationBayesian model averagingautoregressive conditional heteroscedasticityMarkov chain Monte Carlo composition

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Economic time series analysis (91B84)

Cites Work

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Cited In (41)

• Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
• Two Cholesky-log-GARCH models for multivariate volatilities
• Bayesian semiparametric multivariate GARCH modeling
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Cholesky-GARCH models with applications to finance
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
• A component GARCH model with time varying weights
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
• COMFORT: a common market factor non-Gaussian returns model
• Weighted scatter estimation method of the GO-GARCH models
• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
• Method of moments estimation of GO-GARCH models
• Asymmetric conditional correlations in stock returns
• A Simple Method for Predicting Covariance Matrices of Financial Returns
• Regularization for stationary multivariate time series
• On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model
• A Student-\(t\) full factor multivariate GARCH model
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• On asymptotic theory for multivariate GARCH models
• Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
• Robust ranking of multivariate GARCH models by problem dimension
• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
• Bayesian prediction of jumps in large panels of time series data
• Estimación bayesiana de un Modelo Garch-M Bivariado
• Cointegration models with non Gaussian GARCH innovations
• Dynamic factor multivariate GARCH model
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
• IDENTIFICATION OF COVARIANCE STRUCTURES
• Title not available (Why is that?)
• On the univariate representation of BEKK models with common factors
• Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Efficient estimation of a multivariate multiplicative volatility model
• Title not available (Why is that?)
• Break detection in the covariance structure of multivariate time series models
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
• Bayesian inference of multivariate rotated GARCH models with skew returns
• On the parametrization of multivariate GARCH models
• Factor stochastic volatility with time varying loadings and Markov switching regimes

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