Matrix exponential GARCH

DOI10.1016/j.jeconom.2005.06.023zbMath1418.62484OpenAlexW2033559346MaRDI QIDQ278044

Hiroyuki Kawakatsu

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.023

zbMATH Keywords

matrix exponentialmultivarate GARCHnon-nested tests

Mathematics Subject Classification ID

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

Related Items

MULTIVARIATE ECOGARCH PROCESSES ⋮ Sequential conditional correlations: inference and evaluation ⋮ Matrix exponential stochastic volatility with cross leverage ⋮ Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ A Student-\(t\) full factor multivariate GARCH model ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ A dynamic conditional score model for the log correlation matrix ⋮ Long memory and asymmetry for matrix-exponential dynamic correlation processes ⋮ Unnamed Item ⋮ Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model ⋮ The Jacobian of the exponential function ⋮ Efficient estimation of a multivariate multiplicative volatility model ⋮ Forecasting multivariate realized stock market volatility ⋮ First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes ⋮ Break detection in the covariance structure of multivariate time series models ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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