Search Results - subject:"covariance targeting"

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845

Persistent link: https://www.econbiz.de/10014448443

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021

Persistent link: https://www.econbiz.de/10012603081

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020

series models to the singular case. This model is furthermore developed by covariance targeting adapted to matrices and a …

Persistent link: https://www.econbiz.de/10012654472

Multivariate Rotated ARCH Models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2012

This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance … targeting, even with rich dynamics. We call them rotated ARCH (RARCH) models. The basic structure is to rotate the returns and …

Persistent link: https://www.econbiz.de/10010823417

Multivariate Variance Targeting in the BEKK-GARCH Model

Pedersen, Rasmus Søndergaard; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2012

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...

Persistent link: https://www.econbiz.de/10010851199

Computationally efficient inference procedures for vast dimensional realized covariance models

BAUWENS, Luc; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2012

Conditionally Autoregressive Wishart (CAW) model incorporating scalar system matrices and covariance targeting. The finite sample …

Persistent link: https://www.econbiz.de/10010927682

Multivariate Rotated ARCH models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - Department of Economics, Oxford University - 2012

Persistent link: https://www.econbiz.de/10009650771

Modelling Realized Covariances and Returns

Jin, Xin; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The main...

Persistent link: https://www.econbiz.de/10010555042

Dynamic conditional correlation models for realized covariance matrices

BAUWENS, Luc; STORTI, Giuseppe; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix is specified in two steps: one for each realized variance, and one for the realized correlation matrix. The realized correlation model is a scalar dynamic conditional...

Persistent link: https://www.econbiz.de/10010662648

Multivariate High-Frequency-Based Volatility (HEAVY) Models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2011

models dynamics and highlight their di¤erences from multivariate GARCH models. We also discuss their covariance targeting …

Persistent link: https://www.econbiz.de/10010823419