Realized BEKK-CAW models

DOI10.1515/JTSE-2022-0009MaRDI QIDQ2693372zbMATH OpenOpenAlexFDO

Authors Manabu Asai, Mike K. P. So

Publication date 20 March 2023

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/jtse-2022-0009

zbMATH Keywords

asymptotic theoryconditional autoregressive Wishartquasi-maximum likelihood estimationrealized multivariate GARCHvariance targeting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A multiple indicators model for volatility using intra-daily data
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic theory for multivariate GARCH processes.
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
• Forecasting intraday volatility and value-at-risk with high-frequency data
• Forecasting multivariate realized stock market volatility
• Martingale Central Limit Theorems
• Maximum Likelihood Estimation of Misspecified Models
• Mixing: Properties and examples
• Multivariate leverage effects and realized semicovariance GARCH models
• Multivariate variance targeting in the BEKK-GARCH model
• On asymptotic theory for multivariate GARCH models
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Stochastic covariance models
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The Covariance Matrix of the Information Matrix Test
• The Wishart autoregressive process of multivariate stochastic volatility
• Time series models for realized covariance matrices based on the matrix-F distribution

Cited in

(2)

• Unrestricted maximum likelihood estimation of multivariate realized volatility models
• Time series models for realized covariance matrices based on the matrix-F distribution

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