Cholesky-GARCH models with applications to finance
DOI10.1007/S11222-011-9251-2zbMATH Open1252.91080OpenAlexW2146051689MaRDI QIDQ693317FDOQ693317
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
Recommendations
principal componentsmaximum likelihood estimationCholesky decompositionspectral decompositionstochastic volatility modelslatent factor modelsautoregressive conditional heteroscedastic modelstime-varying ARMA coefficients
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)
Cites Work
- Analysis of Financial Time Series
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Parsimonious Covariance Matrix Estimation for Longitudinal Data
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
- Bayesian model determination for multivariate ordinal and binary data
- 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
- A full-factor multivariate GARCH model
- Multivariate COGARCH(1, 1) processes
- Title not available (Why is that?)
- Cholesky-GARCH models with applications to finance
Cited In (18)
- Two Cholesky-log-GARCH models for multivariate volatilities
- An improved banded estimation for large covariance matrix
- Ensemble sparse estimation of covariance structure for exploring genetic disease data
- Consistent pseudo-maximum likelihood estimators and groups of transformations
- Cholesky-GARCH models with applications to finance
- Parsimony inducing priors for large scale state-space models
- An improved modified cholesky decomposition approach for precision matrix estimation
- 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
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Geometry-preserving Lie group integrators for differential equations on the manifold of symmetric positive definite matrices
- A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
- Estimation of banded time-varying precision matrix based on SCAD and group Lasso
- A novel robust estimation for high-dimensional precision matrices
- Bayesian prediction of jumps in large panels of time series data
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Volatility prediction based on scheduled macroeconomic announcements
- A Cholesky-based estimation for large-dimensional covariance matrices
Uses Software
This page was built for publication: Cholesky-GARCH models with applications to finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693317)
