Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Year of publication: |
2023
|
---|---|
Authors: | Abadir, Karim Maher |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 26.2023, 1, p. 88-104
|
Subject: | Dynamic volatility models | auto-regressive conditional heteroskedasticity (ARCH) | stochastic volatility | generalized auto-regressive score (GAS) | orthogonal matrix representa-tion | skew-symmetry | matrix exponential | minimum-variance portfolios in finance | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
-
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F., (2021)
-
Allen, David E., (2020)
-
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea, (2020)
- More ...
-
The joint density of two functionals of a Brownian motion
Abadir, Karim Maher, (1994)
-
The joint moment generating function of quadratic forms in multivariate autoregressive series
Abadir, Karim Maher, (1994)
-
Two estimators of the long-run variance : beyond short memory
Abadir, Karim Maher, (2009)
- More ...