Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Year of publication: |
2020
|
---|---|
Authors: | Lee, Chung Eun ; Shao, Xiaofeng |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 1, p. 80-92
|
Subject: | Conditional heteroscedasticity | Dimension reduction | Nonlinear dependence | Principal components. | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Martingal | Martingale | Heteroskedastizität | Heteroscedasticity |
-
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena, (2021)
-
An econometric estimation of gross margin volatility : a case of ox production in Namibia
Bach, H. J. Sartorius von, (2020)
-
Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan, (2018)
- More ...
-
Statistical issues and developments in time series analysis and educational measurement
Fan, Zhewen, (2010)
-
Service channel choice for supply chain under online marketplace
Shen, Jiannan, (2021)
-
He, Zhi, (2010)
- More ...