Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …