Proximity-structured multivariate volatility models

DOI10.1080/07474938.2013.807102zbMATH Open1491.62150OpenAlexW2081385276MaRDI QIDQ5863553FDOQ5863553

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

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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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