Efficient estimation of a multivariate multiplicative volatility model
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Publication:736688
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Cited in
(43)- Locally Stationary Multiplicative Volatility Modeling
- Dynamic Autoregressive Liquidity (DArLiQ)
- Forward detrending for heteroskedasticity-robust panel unit root testing
- A non‐parametric test for multi‐variate trend functions
- On the correlation analysis of stocks with zero returns
- Volatility comovement: a multifrequency approach
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Nonparametric volatility prediction
- Testing for parameter changes in linear state space models
- Efficient volatility estimation in a two-factor model
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
- Proximity-structured multivariate volatility models
- Nonparametric regression for locally stationary random fields under stochastic sampling design
- Semiparametric multivariate volatility models
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
- Econometric analysis of volatility component models
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- A coupled component DCS-EGARCH model for intraday and overnight volatility
- Semiparametric multivariate GARCH models
- Semi- and nonparametric ARCH processes
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Two-step estimation for time varying ARCH models
- Mean volatility regressions
- Estimating multivariate volatility models equation by equation
- Dynamic modeling of high-dimensional correlation matrices in finance
- Spline estimation of a semiparametric GARCH model
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Nonparametric comparison of epidemic time trends: the case of COVID-19
- Inference on a semiparametric model with global power law and local nonparametric trends
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Semiparametric model for covariance regression analysis
- Nonparametric regression for locally stationary time series
- Modelling volatility by variance decomposition
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Non-parametric news impact curve: a variational approach
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