Dynamic factor multivariate GARCH model

DOI10.1016/j.csda.2012.09.010zbMath1506.62160OpenAlexW3121775877MaRDI QIDQ1623556

Guilherme V. Moura, André A. P. Santos

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.09.010

zbMATH Keywords

performance evaluationKalman filterforecastingSharpe ratiodynamic conditional correlation (DCC)learning CAPM

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns ⋮ Asymmetric conditional correlations in stock returns ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Portfolio selection: shrinking the time-varying inverse conditional covariance matrix

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