Multivariate GARCH models for large-scale applications: A survey

DOI10.1016/bs.host.2019.01.001zbMath1439.62187OpenAlexW2924237999MaRDI QIDQ5116815

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 seriesvolatilitycomovementmultivariate GARCH

Mathematics Subject Classification ID

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

Related Items (4)

Estimation and decomposition of food price inflation risk ⋮ Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages ⋮ A practical multivariate approach to testing volatility spillover ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations

Uses Software

• R
• MFE toolbox
• GAS
• ccgarch

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