JOURNAL ARTICLE
A multivariate realized GARCH model
Ilya ArchakovPeter Reinhard HansenAsger Lunde
Year: 2025 Journal: Journal of Econometrics Pages: 106040-106040 Publisher: Elsevier BV
Keywords:
Parametrization (atmospheric modeling) Covariance matrix Autoregressive conditional heteroskedasticity Transformation (genetics) Mathematics Gaussian Applied mathematics Multivariate statistics Positive definiteness Multivariate normal distribution Factor analysis Matrix (chemical analysis) Logarithm Distribution (mathematics) Correlation Series (stratigraphy) Econometrics Algorithm Positive-definite matrix Statistics Mathematical analysis
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8
Cited By
26.89
FWCI (Field Weighted Citation Impact)
68
Refs
0.99
Citation Normalized Percentile
Is in top 1%
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Citation History
Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Complex Systems and Time Series Analysis
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
Market Dynamics and Volatility
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
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