On conditional covariance modelling: An approach using state space models
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2014.09.019
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Rossi, E. & Spazzini, F., 2010.
"Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
- Rossi, Eduardo & Spazzini, Filippo, 2008. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper 12260, University Library of Munich, Germany.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
- Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
- Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 238-253, April.
- Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
- Drew Creal & Siem Jan Koopman & André Lucas, 2008.
"A General Framework for Observation Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
08-108/4, Tinbergen Institute.
- Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
- Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-389, October.
- Hafner, Christian M. & Reznikova, Olga, 2012.
"On the estimation of dynamic conditional correlation models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
- Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," LIDAM Reprints ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caporin, Massimiliano & McAleer, Michael, 2014.
"Robust ranking of multivariate GARCH models by problem dimension,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Audrino, Francesco, 2014.
"Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
- 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.
- Broto Carmen & Ruiz Esther, 2009.
"Testing for Conditional Heteroscedasticity in the Components of Inflation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
- Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
- Otranto, Edoardo, 2010.
"Identifying financial time series with similar dynamic conditional correlation,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
- E. Otranto, 2008. "Identifying Financial Time Series with Similar Dynamic Conditional Correlation," Working Paper CRENoS 200817, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Massimiliano Caporin & Michael McAleer, 2010.
"Ranking Multivariate GARCH Models by Problem Dimension,"
CARF F-Series
CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," "Marco Fanno" Working Papers 0124, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers EI 2010-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 10/34, University of Canterbury, Department of Economics and Finance.
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- Li Wei & Ming-Chih Lee & Wan-Hsiu Cheng & Chia-Hsien Tang & Jing-Wun You, 2023. "Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic," Mathematics, MDPI, vol. 11(13), pages 1-19, June.
- García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013.
"Financial Risk Measurement for Financial Risk Management,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,
Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
- Fresoli, Diego E. & Ruiz, Esther, 2016.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Fresoli, Diego Eduardo, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019.
"Large Dynamic Covariance Matrices,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016. "Large dynamic covariance matrices," ECON - Working Papers 231, Department of Economics - University of Zurich, revised Apr 2017.
- Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3664, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013.
"Seleção de carteiras utilizando o modelo Fama-French-Carhart,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
- Guilherme Valle Moura & João Frois Caldeira & André Santos, 2014. "Seleção De Carteiras Utilizando O Modelofama-French-Carhart," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 117, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
More about this item
Keywords
Conditional correlation; Conditional covariance; Kalman recursions; LDL decomposition; State space methods;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.