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Proximity-Structured Multivariate Volatility Models - MaRDI portal

Proximity-Structured Multivariate Volatility Models (Q5863553)

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scientific article; zbMATH DE number 7536041
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English
Proximity-Structured Multivariate Volatility Models
scientific article; zbMATH DE number 7536041

    Statements

    title
    Proximity-Structured Multivariate Volatility Models (English)
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    author
    Massimiliano Caporin
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    Paolo Paruolo
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    publication date
    3 June 2022
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    zbMATH Keywords
    GARCH
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    realized volatility
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    spatial models
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    stochastic volatility
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    weight matrices
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    cites work
    Q3292891
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    Q3099631
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    Q4802629
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    Q3185327
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    Q3994346
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    Q3428689
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    62H12
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    91B84
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    zbMATH DE Number
    7536041
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    OpenAlex ID
    W2081385276
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