Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages

DOI10.1515/JEM-2020-0004zbMath1462.62565OpenAlexW3092084584MaRDI QIDQ2661315

Hiroyuki Kawakatsu

Publication date: 7 April 2021

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jem-2020-0004

zbMATH Keywords

long memorymultivariate GARCHrank-onehyperbolic decayout-of-sample multistep forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• A FAST FRACTIONAL DIFFERENCE ALGORITHM
• Estimating Multivariate Volatility Models Equation by Equation

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