A full-factor multivariate GARCH model
From MaRDI portal
Publication:4458359
Recommendations
- Analysis of high dimensional multivariate stochastic volatility models
- scientific article; zbMATH DE number 1522717
- Bayesian semiparametric multivariate GARCH modeling
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Multivariate mixed normal conditional heteroskedasticity
Cites work
- scientific article; zbMATH DE number 5010681 (Why is no real title available?)
- scientific article; zbMATH DE number 472921 (Why is no real title available?)
- scientific article; zbMATH DE number 472986 (Why is no real title available?)
- scientific article; zbMATH DE number 720675 (Why is no real title available?)
- ARCH modeling in finance. A review of the theory and empirical evidence
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Analysis of high dimensional multivariate stochastic volatility models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian Graphical Models for Discrete Data
- Bayesian Model Averaging for Linear Regression Models
- Bayesian Model Averaging in Proportional Hazard Models: Assessing the Risk of a Stroke
- Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
- Filtering via Simulation: Auxiliary Particle Filters
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- Multivariate Stochastic Variance Models
- On Metropolis-Hastings algorithms with delayed rejection
- Optimum Monte-Carlo sampling using Markov chains
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Simulation Run Length Control in the Presence of an Initial Transient
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Volatility and Links between National Stock Markets
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
- COMFORT: a common market factor non-Gaussian returns model
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- 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
- Regularization for stationary multivariate time series
- A Student-\(t\) full factor multivariate GARCH model
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear 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
- On the univariate representation of BEKK models with common factors
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
- Efficient estimation of a multivariate multiplicative volatility model
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Break detection in the covariance structure of multivariate time series models
- scientific article; zbMATH DE number 1222303 (Why is no real title available?)
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
- On the parametrization of multivariate GARCH models
- Bayesian inference of multivariate rotated GARCH models with skew returns
- Factor stochastic volatility with time varying loadings and Markov switching regimes
This page was built for publication: A full-factor multivariate GARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4458359)