Explicit minimal representation of variance matrices, and its implication for dynamic volatility models

DOI10.1093/ECTJ/UTAC023MaRDI QIDQ6553115zbMATH OpenFDO

Authors Karim M. Abadir

Publication date 11 June 2024

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

skew-symmetrystochastic volatilitymatrix exponentialauto-regressive conditional heteroskedasticity (ARCH)dynamic volatility modelsgeneralized auto-regressive score (GAS)minimum-variance portfolios in financeorthogonal matrix representation

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(1)

• Are minimum variance portfolios in multi-factor models long in low-beta assets?

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