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Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Multivariate GARCH models with correlation clustering

So, Mike K. P.; Yip, Iris W. H. - In: Journal of forecasting 31 (2012) 5, pp. 443-468

Persistent link: https://www.econbiz.de/10009582107

Multivariate GARCH Models with Correlation Clustering

So, Mike K. P. - 2010

This paper proposes a new clustered correlation multivariate GARCH model (CC-MGARCH) that allows conditional correlations to form clusters. This model can generalize the time-varying correlation structure in Tse and Tsui (2002) by determining a natural grouping of the correlations among the...

Persistent link: https://www.econbiz.de/10013148121