On conditional covariance modelling: an approach using state space models

DOI10.1016/j.csda.2014.09.019zbMath1466.62094OpenAlexW2023263184MaRDI QIDQ1659121

Radek Hendrych, Tomáš Cipra

Publication date: 15 August 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.2014.09.019

zbMATH Keywords

conditional correlationstate space methodsconditional covarianceKalman recursionsLDL decomposition

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• FinTS
• itsmr

Cites Work

• On the estimation of dynamic conditional correlation models
• Joint forecasts of Dow Jones stocks under general multivariate loss function
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Introduction to Time Series and Forecasting
• Analysis of Financial Time Series
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