Multivariate rotated ARCH models

DOI10.1016/j.jeconom.2013.10.003zbMath1293.62198OpenAlexW3121915407MaRDI QIDQ2512636

Neil Shephard, Kevin Sheppard, Diaa Noureldin

Publication date: 7 August 2014

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

Full work available at URL: http://nrs.harvard.edu/urn-3:HUL.InstRepos:34650305

zbMATH Keywords

multivariate volatilitycommon persistencecovariance targetingRARCHRBEKKRDCC

Mathematics Subject Classification ID

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) Statistical methods; risk measures (91G70)

Related Items (14)

Multivariate hyper-rotated GARCH-BEKK ⋮ Estimation and empirical performance of non-scalar dynamic conditional correlation models ⋮ Bayesian inference of multivariate rotated GARCH models with skew returns ⋮ Efficient two-step estimation via targeting ⋮ On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Dynamic conditional eigenvalue GARCH ⋮ Testing for nonlinearity in conditional covariances ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas ⋮ On loss functions and ranking forecasting performances of multivariate volatility models ⋮ Dynamic principal component CAW models for high-dimensional realized covariance matrices ⋮ Improving forecasts with the co-range dynamic conditional correlation model ⋮ ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS

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