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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 normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

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The relation between macroeconomic variables and stock market returns using multivariate methods

Grigoris, Michailidis; Stavros, Tsopogiou - In: International journal of economics 2 (2008) 1, pp. 19-43

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A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...