Unrestricted, restricted, and regularized models for forecasting multivariate volatility
From MaRDI portal
Recommendations
- Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Unrestricted maximum likelihood estimation of multivariate realized volatility models
- Multivariate Volatility Models
- Multivariate volatility models
- On loss functions and ranking forecasting performances of multivariate volatility models
- Forecasting volatility in the presence of model instability
- Semiparametric multivariate volatility models
- scientific article; zbMATH DE number 5022019
- Forecasting VaR models under different volatility processes and distributions of return innovations
Cites work
- A ridge to homogeneity for linear models
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Goodness-of-fit tests for centralized Wishart processes
- Modeling and forecasting realized covariance matrices with accounting for leverage
- Modeling and Forecasting Realized Volatility
- Proximity-structured multivariate volatility models
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Robust ranking of multivariate GARCH models by problem dimension
- The conditional autoregressive Wishart model for multivariate stock market volatility
- The Model Confidence Set
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(2)
This page was built for publication: Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6138238)
