A component model for dynamic correlations

DOI10.1016/j.jeconom.2011.02.013zbMath1441.62653OpenAlexW3124765733MaRDI QIDQ128853

Robert F. Engle, Eric Ghysels, Riccardo Colacito, Robert F. Engle, Riccardo Colacito, Eric Ghysels

Publication date: September 2011

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/27885

zbMATH Keywords

forecastingdynamic correlationsmixed data sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Alternative models for stock price dynamics.
• Asymptotic theory for multivariate GARCH processes.
• Modeling volatility persistence of speculative returns: a new approach
• Statistical inference for time-varying ARCH processes
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Matrix Analysis
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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