Stochastic Covariance Models

DOI10.14490/JJSS.43.127zbMath1306.62194OpenAlexW3123270257MaRDI QIDQ2926309

Mike K. P. So, Manabu Asai

Publication date: 23 October 2014

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.43.127

zbMATH Keywords

long memorynonlinear time seriesthreshold modelsdynamic correlationcovariance predictionstochastic covariance filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Realized BEKK-CAW models ⋮ Bayesian semiparametric modeling of realized covariance matrices ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models

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