A Multivariate Generalized Orthogonal Factor GARCH Model

By Markku Lanne, Pentti Saikkonen. 2007

121 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/064ecea9beb7a36df9bea20fed8b3e394e49f683

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Citations in the corpus

Break detection in the covariance structure of multivariate time series models (2009, methodology): “The first factor GARCH model was introduced by Engle, Ng and Rothschild [24], more recent factor models were put forth in [38, 49].”
Multivariate Rotated ARCH Models (2014, methodology): “Lanne and Saikkonen (2007) propose the polar decomposition for Z such that Z = SU; (10) where S is a symmetric positive de nite matrix, and U is an orthogonal matrix.”
Multivariate GARCH models (2008, unknown): “Lanne and Saikkonen (2007) put forth yet another modelling proposal.”
Estimating multivariate volatility models equation by equation (2016, methodology): “…to alleviate the dimensionality curse rely on either constraining the structure of the model to reduce the number of parameters (see for example Engle et al. (1990), van der Weide (2002) and Lanne and Saikkonen (2007)), or using an alternative estimation criterion (see Engle et al. (2008)).”
Structural Vector Autoregressions With Nonnormal Residuals (2010, methodology): “This kind of mixture normal distribution was used in a multivariate GARCH modelling context by Lanne and Saikkonen (2005) .”
Efficient factor GARCH models and factor-DCC models (2009, methodology): “It allows adaptive estimation of the distribution of the standardized residuals, as Lanne and Saikkonen (2005) do.”
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “A similar factorization has been employed recently in other settings by, inter alia , Van der Weide (2002) and Lanne and Saikkonen (2007) in the context of multivariate conditionally heteroskedastic models, and by Lanne and L(cid:252)tkepohl (2005) to model non-normality in VAR processes.”
GARCH Models (2010, unknown): “The reader may refer to Hafner and Preminger (2009a), Lanne and Saikkonen (2007), van der Weide (2002) and Vrontos, Dellaportas and Politis (2003) for the definition and study of FF-GARCH models of the form (11.26) where P is not assumed to be orthonormal.”
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009, methodology): “K conditionally heteroskedastic factors, and N i K conditionally homoskedastic factors, see Lanne and Saikkonen (2005) .”