Unrestricted, restricted, and regularized models for forecasting multivariate volatility

DOI10.1515/SNDE-2021-0064OpenAlexW4224305908MaRDI QIDQ6138238

Stanislav Anatolyev, Filip Staněk

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2021-0064

zbMATH Keywords

ridgeregularizationcovariance matrixmultivariate volatilityBEKKCAW

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The Model Confidence Set
• Volatility forecast comparison using imperfect volatility proxies
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Robust ranking of multivariate GARCH models by problem dimension
• A ridge to homogeneity for linear models
• Modeling and forecasting realized covariance matrices with accounting for leverage
• Goodness-of-fit tests for centralized Wishart processes
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Proximity-Structured Multivariate Volatility Models

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