Asymptotics of Cholesky GARCH models and time-varying conditional betas

DOI10.1016/j.jeconom.2018.02.003zbMath1452.62626OpenAlexW2784800853WikidataQ130162622 ScholiaQ130162622MaRDI QIDQ1753058

Sébastien Laurent, Serge Darolles, Christian Francq

Publication date: 25 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.02.003

zbMATH Keywords

covarianceconditional betasmultivariate-GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (max. 100)

On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model ⋮ Autoregressive conditional betas ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ High-dimensional penalized arch processes

Uses Software

• Ox

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