Multivariate GARCH models for large-scale applications: a survey

DOI10.1016/BS.HOST.2019.01.001MaRDI QIDQ5116815zbMATH OpenOpenAlexFDO

Authors Alexios Galanos, Scott Payseur, Eric Zivot, Leopoldo Catania

Publication date 18 August 2020

Published in Handbook of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/bs.host.2019.01.001

zbMATH Keywords

distributiontime seriesvolatilitymultivariate GARCHcomovement

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

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Cited in

(8)

• High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
• A practical multivariate approach to testing volatility spillover
• Estimation and decomposition of food price inflation risk
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• On the parametrization of multivariate GARCH models
• Recurrent neural network go-GARCH model for portfolio selection
• Robust ranking of multivariate GARCH models by problem dimension

Describes a project that uses

Uses Software

• R
• MFE toolbox
• GAS
• ccgarch

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