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Search: subject:"multivariate GARCH"
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ECONIS (ZBW)
EconStor
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1
L1 regularization for high-dimensional
multivariate
GARCH
models
Yao, Sijie
;
Zou, Hui
;
Xing, Haipeng
- In:
Risks : open access journal
12
(
2024
)
2
,
pp. 1-29
The complexity of estimating
multivariate
GARCH
models increases significantly with the increase in the number of asset …
Persistent link: https://www.econbiz.de/10014497339
Saved in:
2
Investigating volatility transmission across international equity markets using multivariate fractional models
Saâdaoui, Foued
;
Ghadhab, Imen
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2139-2157
Persistent link: https://www.econbiz.de/10014259113
Saved in:
3
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
-
2022
-
This version: January 2022
Multivariate
GARCH
models do not perform well in large dimensions due to the so-called curse of dimensionality. The …
Persistent link: https://www.econbiz.de/10013040932
Saved in:
4
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
5
A
multivariate
GARCH
-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
6
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
7
Dynamic risk-based optimization on cryptocurrencies
Nugroho, Bayu Adi
- In:
Journal of capital markets studies
5
(
2021
)
1
,
pp. 28-48
multivariate
GARCH
(1,1) with Student's-t-distribution. This research also constructed static optimization from the conventional MVP …
Persistent link: https://www.econbiz.de/10012624870
Saved in:
8
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
9
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
10
Dynamic score-driven independent component analysis
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10014448140
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