Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management

DOI10.1016/J.JECONOM.2020.04.040OpenAlexW3033219375MaRDI QIDQ2116329

Mike K. P. So, Amanda M. Y. Chu, Thomas W. C. Chan

Publication date: 16 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.040

zbMATH Keywords

multivariate GARCHrisk contributiontail riskdynamic mappingdynamic covariance modeling

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property

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