Dynamic partial correlation models
From MaRDI portal
Publication:6554221
DOI10.1016/j.jeconom.2024.105747MaRDI QIDQ6554221
Publication date: 12 June 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- The Model Confidence Set
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Generating random correlation matrices based on partial correlations
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Asymptotic theory for multivariate GARCH processes.
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Maximum likelihood estimation for score-driven models
- Sequential conditional correlations: inference and evaluation
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
- Dynamic Models for Volatility and Heavy Tails
- Kalman Filtering with Random Coefficients and Contractions
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- A New Parametrization of Correlation Matrices
- A stochastic recurrence equations approach for score driven correlation models
- Multivariate variance targeting in the BEKK-GARCH model
- GARCH Models
- Estimating Multivariate Volatility Models Equation by Equation
- Handbook of Volatility Models and Their Applications
- Parameterizing correlations: a geometric interpretation
- Relations between Weak and Uniform Convergence of Measures with Applications
- On the Conditional Distribution of the Multivariate t Distribution
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
This page was built for publication: Dynamic partial correlation models