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Persistent link: https://www.econbiz.de/10003350090
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...
Persistent link: https://www.econbiz.de/10014497339
Persistent link: https://www.econbiz.de/10014229238
This paper shows that volatility persistence in GARCH models and spurious long memory in autoregressive models may arise if the possibility of structural changes is not incorporated in the time series model. It also describes a tractable hidden Markov model (HMM) in which the regression...
Persistent link: https://www.econbiz.de/10015385498