The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
Open accessAbstract
This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator with a number of existing ones.
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Citations
Cites
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Politis, D. N., & Romano, J. P. (1994) · Journal of the American Statistical Association · doi:10.1080/01621459.1994.10476870 · Cited by 2,649
Cited by
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Robust performance hypothesis testing with the Sharpe ratio
Ledoit, O., & Wolf, M. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2008.03.002 · Cited by 948
Self-citationAnalysis of high dimensional multivariate stochastic volatility models
Chib, S., Nardari, F., & Shephard, N. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.06.026 · Cited by 342
Chapter 15 Volatility and Correlation Forecasting
Andersen, T. G., Bollerslev, T., Christoffersen, P. F., & Diebold, F. X. (2006) · Handbook of Economic Forecasting · doi:10.1016/s1574-0706(05)01015-3 · Cited by 330
Metadata
- Authors
- Ledoit, O., Santa-Clara, P., & Wolf, M.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2003-08
- Volume
- 85
- Issue
- 3
- Pages
- 735-747
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2128937310
- Cited by
- 283
- References
- 2
- FWCI
- 24.84
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
