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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

Bodnar, Taras; Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10003635785

Asymmetric multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003651581

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003651587

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273

Persistent link: https://www.econbiz.de/10003739092

Quantile residuals for multivariate models

Kalliovirta, Leena (contributor) - 2008

Persistent link: https://www.econbiz.de/10003784945

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....