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Asymptotic theory for rotated multivariate GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - 2018
Persistent link: https://www.econbiz.de/10011920705
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Temporal aggregation of multivariate GARCH processes
Hafner, Christian M. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002186310
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Autocontour-based evaluation of multivariate predictive densities
González-Rivera, Gloria; Yoldas, Emre - In: International journal of forecasting 28 (2012) 2, pp. 328-342
Persistent link: https://www.econbiz.de/10009581928
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Representation, estimation and forecasting of the multivariate index-augmented autoregressive model
Cubadda, Gianluca; Guardabascio, Barbara - In: International journal of forecasting 35 (2019) 1, pp. 67-79
Persistent link: https://www.econbiz.de/10012300575
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278