Computational finance: correlation, volatility, and markets
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Publication:6604414
DOI10.1002/WICS.1323zbMATH Open1545.62042WikidataQ115096349 ScholiaQ115096349MaRDI QIDQ6604414FDOQ6604414
Authors: Katherine Bennett Ensor, Ginger M. Koev 
Publication date: 12 September 2024
Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)
regime switchingdynamic conditional correlationstock volatilityco-volatility forecastingGARCH/MGARCH
Cites Work
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- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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- Vast volatility matrix estimation for high-frequency financial data
- Modeling dependence dynamics through copulas with regime switching
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- Variance clustering improved dynamic conditional correlation MGARCH estimators
- Time series factor models
Cited In (1)
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