A dynamic conditional score model for the log correlation matrix
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Cites work
- A New Parametrization of Correlation Matrices
- Asymptotic efficiency of the two-stage estimation method for copula-based models
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- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
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- Handbook of Volatility Models and Their Applications
- High-dimensional covariance matrix estimation in approximate factor models
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Martingale Central Limit Theorems
- Matrix exponential GARCH
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- The t Copula and Related Copulas
- Volatility modeling with a generalized t distribution
Cited in
(8)- Modeling Extreme Events: Time-Varying Extreme Tail Shape
- A multivariate realized GARCH model
- Probability distributions for realized covariance measures
- Multivariate stochastic volatility models based on generalized Fisher transformation
- Quotient geometry of bounded or fixed-rank correlation matrices
- Convolution-t distributions
- Cluster GARCH
- Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
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