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Autoregressive spatial spectral estimates

Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10011974618

Dynamic principal component CAW models for high-dimensional realized covariance matrices

Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821

Persistent link: https://www.econbiz.de/10012262622

Testing high-dimensional covariance matrices under the elliptical distribution and beyond

Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423

Persistent link: https://www.econbiz.de/10012619243

Multivariate models with long memory dependence in conditional correlation and volatility

Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180

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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

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Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626