My bibliography
Save this item
Principal Component Models for Generating Large GARCH Covariance Matrices
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
- Aggarwal, Raj & Muckley, Cal B., 2010. "Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 149-165, April.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009.
"Asymmetric multivariate normal mixture GARCH,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
- Martin Vojtek, 2004.
"Calibration of Interest Rate Models - Transition Market Case,"
Finance
0410015, University Library of Munich, Germany.
- Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Eterovic, Nicolas A. & Eterovic, Dalibor S., 2013. "Separating the wheat from the chaff: Understanding portfolio returns in an emerging market," Emerging Markets Review, Elsevier, vol. 16(C), pages 145-169.
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Claudio Morana, 2014.
"New insights on the US OIS spreads term structure during the recent financial turmoil,"
Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 291-317, March.
- Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
- Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
- Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2020. "Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets," Mathematics, MDPI, vol. 8(6), pages 1-23, June.
- Kearney, Colm & Muckley, Cal, 2008. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 870-885, December.
- Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
- Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013.
"Dynamic factor Value-at-Risk for large heteroskedastic portfolios,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013.
"Multivariate Volatility Modeling Of Electricity Futures,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ding, Shusheng & Cui, Tianxiang & Wu, Xiangling & Du, Min, 2022. "Supply chain management based on volatility clustering: The effect of CBDC volatility," Research in International Business and Finance, Elsevier, vol. 62(C).
- Morana, Claudio, 2019.
"Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
- Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
- Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
- Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
- Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
- Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
- Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
- Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006. "Multivariate normal mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies (CFS).
- Don Bredin & Stuart Hyde, 2004.
"FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1389-1417, November.
- Bredin, Don & Hyde, Stuart, 2002. "Forex Risk: Measurement and Evaluation using Value-at-Risk," Research Technical Papers 6/RT/02, Central Bank of Ireland.
- Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Pierret, D., 2013.
"The systemic risk of energy markets,"
LIDAM Discussion Papers ISBA
2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:hum:wpaper:sfb649dp2016-006 is not listed on IDEAS
- Loann David Denis Desboulets, 2017.
"Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach,"
Working Papers
halshs-02059302, HAL.
- Loann D. Desboulets, 2017. "Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach," AMSE Working Papers 1851, Aix-Marseille School of Economics, France.
- Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
- Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
- Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Claudio, Morana, 2015.
"Semiparametric Estimation of Multivariate GARCH Models,"
Working Papers
317, University of Milano-Bicocca, Department of Economics, revised 10 Dec 2015.
- Claudio Morana, 2017. "Semiparametric Estimation of Multivariate GARCH Models," Working Paper series 17-02, Rimini Centre for Economic Analysis.
- Kuper, Gerard H. & Lestano, 2007.
"Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia,"
Journal of Asian Economics, Elsevier, vol. 18(4), pages 670-684, August.
- Kuper, Gerard H. & Lestano, 2006. "Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia," CCSO Working Papers 200602, University of Groningen, CCSO Centre for Economic Research.
- Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 8(4), pages 3-17.
- Walid Abass Mohammed, 2021. "Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets," JRFM, MDPI, vol. 14(6), pages 1-30, June.
- Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
- Díaz, Antonio & Escribano, Ana & Esparcia, Carlos, 2024. "Sustainable risk preferences on asset allocation: a higher order optimal portfolio study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).