Cholesky-GARCH models with applications to finance

DOI10.1007/s11222-011-9251-2zbMath1252.91080OpenAlexW2146051689MaRDI QIDQ693317

Petros Dellaportas, Mohsen Pourahmadi

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9251-2

zbMATH Keywords

maximum likelihood estimationspectral decompositionprincipal componentsCholesky decompositionstochastic volatility modelslatent factor modelsautoregressive conditional heteroscedastic modelstime-varying ARMA coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items

A Cholesky-based estimation for large-dimensional covariance matrices, Ensemble sparse estimation of covariance structure for exploring genetic disease data, Parsimony inducing priors for large scale state-space models, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix, On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices, Estimation of banded time-varying precision matrix based on SCAD and group Lasso, An improved modified cholesky decomposition approach for precision matrix estimation, Geometry-preserving Lie group integrators for differential equations on the manifold of symmetric positive definite matrices, Bayesian prediction of jumps in large panels of time series data, Cholesky-GARCH models with applications to finance, Two Cholesky-log-GARCH models for multivariate volatilities, Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations, Volatility prediction based on scheduled macroeconomic announcements, An improved banded estimation for large covariance matrix

Uses Software

• FinTS

Cites Work

• Unnamed Item
• Multivariate COGARCH(1, 1) processes
• Cholesky-GARCH models with applications to finance
• Estimation of covariance matrix via the sparse Cholesky factor with lasso
• Bayesian model determination for multivariate ordinal and binary data
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A full-factor multivariate GARCH model
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Analysis of Financial Time Series