Dynamic factor multivariate GARCH model
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DOI: 10.1016/j.csda.2012.09.010
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- Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013.
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- Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
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- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019.
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- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Audrino, Francesco, 2014.
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- Audrino, Francesco, 2011. "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series 1112, University of St. Gallen, School of Economics and Political Science.
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Keywords
Dynamic conditional correlation (DCC); Forecasting; Kalman filter; Learning CAPM; Performance evaluation; Sharpe ratio;All these keywords.
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