Proximity-structured multivariate volatility models

DOI10.1080/07474938.2013.807102MaRDI QIDQ5863553zbMATH OpenOpenAlexFDO

Authors Massimiliano Caporin, Paolo Paruolo

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11577/2682673

zbMATH Keywords

GARCHrealized volatilityspatial modelsstochastic volatilityweight matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(5)

• Unrestricted, restricted, and regularized models for forecasting multivariate volatility
• A general framework for spatial GARCH models
• Correction of Caporin and Paruolo (2015)
• Estimating time-varying proximity with a state–space model
• A ridge to homogeneity for linear models

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