Similar Search Results

Bootstrapping two-stage quasi-maximum likelihood estimators of time series models

Gonçalves, Sílvia; Hounyo, Ulrich; Patton, Andrew J.; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 683-694

Persistent link: https://www.econbiz.de/10014448421

Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes

Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311

Persistent link: https://www.econbiz.de/10011499439

Copula-based models for financial time series

Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009

Persistent link: https://www.econbiz.de/10003834225

Estimation of multivariate models for time series of possibly different lengths

Patton, Andrew J. - In: Journal of applied econometrics 21 (2006) 2, pp. 147-173

Persistent link: https://www.econbiz.de/10003310036

Multivariate Rotated ARCH Models

Noureldin, Diaa - 2013

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 then to fit them using a BEKK-type parameterization of the...

Persistent link: https://www.econbiz.de/10013091575