Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Year of publication: |
2011-05
|
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Authors: | Aielli, Gian Piero ; Caporin, Massimiliano |
Institutions: | Dipartimento di Scienze Economiche "Marco Fanno", UniversitĂ degli Studi di Padova |
Subject: | dynamic conditional correlations | time series clustering | multivariate GARCH | composite likelihood |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 0133 56 pages |
Classification: | C32 - Time-Series Models ; c38 ; C53 - Forecasting and Other Model Applications ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; c58 |
Source: |
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Variance clustering improved dynamic conditional correlation MGARCH estimators
Aielli, Gian Piero, (2014)
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Fast clustering of GARCH processes via Gaussian mixture models
Aielli, Gian Piero, (2013)
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Dynamic conditional correlation models for realized covariance matrices
BAUWENS, Luc, (2012)
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Dynamic Principal Components: a New Class of Multivariate GARCH Models
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Variance clustering improved dynamic conditional correlation MGARCH estimators
Aielli, Gian Piero, (2014)
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Fast clustering of GARCH processes via Gaussian mixture models
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