Unrestricted maximum likelihood estimation of multivariate realized volatility models

DOI10.1016/j.ejor.2022.05.029OpenAlexW4280526685MaRDI QIDQ2079416

Jan Vogler, Vasyl Golosnoy

Publication date: 29 September 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.05.029

zbMATH Keywords

large scale optimizationrealized covariance matrixhigh-dimensional optimizationdynamic covariance modelsfinancial portfolios

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Analytical quasi maximum likelihood inference in multivariate volatility models
• Estimation of the global minimum variance portfolio in high dimensions
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Bayesian estimation of the global minimum variance portfolio
• A diagnostic criterion for approximate factor structure
• Numerical Optimization
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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