Multivariate GARCH models for large-scale applications: a survey

DOI10.1016/BS.HOST.2019.01.001zbMATH Open1439.62187OpenAlexW2924237999MaRDI QIDQ5116815FDOQ5116815

Alexios Galanos, Scott Payseur, Leopoldo Catania, Eric Zivot

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

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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)

Cited In (7)

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

Uses Software

• R
• MFE toolbox
• GAS
• ccgarch

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