Cholesky-GARCH models with applications to finance

DOI10.1007/S11222-011-9251-2MaRDI QIDQ693317zbMATH OpenOpenAlexFDO

Authors Petros Dellaportas, M. Pourahmadi

Publication date 7 December 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9251-2

zbMATH Keywords

autoregressive conditional heteroscedastic modelsCholesky decompositionlatent factor modelsmaximum likelihood estimationprincipal componentsspectral decompositionstochastic volatility modelstime-varying ARMA coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A full-factor multivariate GARCH model
• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian model determination for multivariate ordinal and binary data
• Cholesky-GARCH models with applications to finance
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimation of covariance matrix via the sparse Cholesky factor with lasso
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
• Multivariate COGARCH(1, 1) processes
• Parsimonious Covariance Matrix Estimation for Longitudinal Data

Cited in

(21)

• Usage of Cholesky decomposition in order to decrease the nonlinear complexities of some nonlinear and diversification models and present a model in framework of mean-semivariance for portfolio performance evaluation
• Asymptotics of Cholesky GARCH models and time-varying conditional betas
• Parsimony inducing priors for large scale state-space models
• Two Cholesky-log-GARCH models for multivariate volatilities
• A Cholesky-based estimation for large-dimensional covariance matrices
• An improved modified cholesky decomposition approach for precision matrix estimation
• Consistent pseudo-maximum likelihood estimators and groups of transformations
• Volatility prediction based on scheduled macroeconomic announcements
• An improved banded estimation for large covariance matrix
• On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• Estimation of banded time-varying precision matrix based on SCAD and group Lasso
• Geometry-preserving Lie group integrators for differential equations on the manifold of symmetric positive definite matrices
• Bayesian prediction of jumps in large panels of time series data
• A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
• A novel robust estimation for high-dimensional precision matrices
• The Jordan form of a triangular matrix
• On block Cholesky decomposition for sparse inverse covariance estimation
• Cholesky-GARCH models with applications to finance
• Weighted average ensemble for Cholesky-based covariance matrix estimation
• Ensemble sparse estimation of covariance structure for exploring genetic disease data

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Uses Software

• FinTS

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