Time series models for realized covariance matrices based on the matrix-F distribution

DOI10.5705/SS.202019.0424MaRDI QIDQ5066772zbMATH OpenOpenAlexFDO

Authors Jiayuan Zhou, Feiyu Jiang, Ke Zhu, Wai Keung Li

Publication date 30 March 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202019.0424

zbMATH Keywords

factor modelheavy-tailed innovationlong memorymatrix time series modelmatrix-F distributionmodel checkingrealized covariance matrixvariance target

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution
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• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting multivariate realized stock market volatility
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• scientific article; zbMATH DE number 889600 (Why is no real title available?)
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• Realized Volatility: A Review
• Residual‐based diagnostics for conditional heteroscedasticity models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The Wishart autoregressive process of multivariate stochastic volatility
• The ZD-GARCH model: a new way to study heteroscedasticity
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Vast volatility matrix estimation for high-frequency financial data

Cited in

(5)

• On portmanteau-type tests for nonlinear multivariate time series
• Realized BEKK-CAW models
• Random matrix models for datasets with fixed time horizons
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Matrix GARCH Model: Inference and Application

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