Proximity-Structured Multivariate Volatility Models

DOI10.1080/07474938.2013.807102zbMath1491.62150OpenAlexW2081385276MaRDI QIDQ5863553

Massimiliano Caporin, Paolo Paruolo

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11577/2682673

zbMATH Keywords

stochastic volatilityGARCHrealized volatilityspatial modelsweight matrices

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) Economic time series analysis (91B84)

Related Items

A ridge to homogeneity for linear models ⋮ Estimating time-varying proximity with a state–space model ⋮ A general framework for spatial GARCH models ⋮ Unrestricted, restricted, and regularized models for forecasting multivariate volatility ⋮ Correction of Caporin and Paruolo (2015)

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