A suggestion for constructing a large time-varying conditional covariance matrix
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DOI: 10.1016/j.econlet.2017.04.020
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References listed on IDEAS
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- David Cronin & Peter Dunne, 2019. "Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 54(4), pages 250-258, July.
- Hussein Hassan & Minko Markovski & Alexander Mihailov, 2022. "COVID-19 Cases and Stock Prices by Sector in Major Economies: What Do We Learn from the Daily Data?," Economics Discussion Papers em-dp2022-04, Department of Economics, University of Reading.
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More about this item
Keywords
Large conditional covariance matrix; GARCH; Multivariate GARCH;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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