Multivariate GARCH Models: A Survey

By Luc Bauwens, Sébastien-Yves Laurent, Jeroen V. K. Rombouts. 2003

2,161 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

A Wild Bootstrap for Degenerate Kernel Tests (2014, background): “The above set of equations is an instance of the VEC dynamics [2] used in econometrics to model market volatility.”
High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes (2019, methodology): “…GP-Copula 0.008+/-0.000 0 .371+/-0.022 0 .056+/-0.002 0 .133+/-0.001 0 .360+/-0.201 0 .236+/-0.000 We also lags values as input L according to the time-frequency, [1, 24, 168] for hourly data, [1, 7, 14] for daily, [1, 5, 10] for business-daily (SP500) and [1, 2, 4, 12, 24, 48] for 30 minutes data.”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “For a presentation of popular factor models in time series we refer to Bauwens et al. (2006), Engle (2002), Engle and Kroner (1995), Engle et al. (1990), Hafner and Preminger (2009), and Hafner and Preminger (2009+).”
Spillovers between Bitcoin and other assets during bear and bull markets (2018, methodology): “The requirement that this Ht is positive definite is guaranteed under simple parameters conditions, as stated by Bauwens, Laurent, and Rombouts (2006).”
Volatility linkages between energy and agricultural commodity prices (2016, background): “Several speci cations for Ht are proposed in the literature, for an overview see Bauwens et al. (2006) or Silvennoinen and Teräsvirta (2009).”
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005, methodology): “(See Bauwens, Laurent, and Rombouts 2003 for a recent survey of multivariate GARCH models.)”
Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries (2014, methodology): “This is consistent with the widespread evidence that of the stock market volatility is highly persistent and asymmetric (Engle and Ng, 1993; Bauwens et al., 2006).”
Multivariate Stochastic Volatility: A Review (2006, methodology): “In terms of model specification, we share the view of Bauwens et al. (2006) about multivariate modeling, especially that providing “a realistic and parsimonious specification of the variance matrix ensuring its positivity” is crucial.”
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (2009, background): “By now, there are many variants of multivariate GARCH models available, see Bauwens et al. (2006) .”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “Bauwens et al. (2006) and Asai et al. (2006) present a survey of the existing models, along with estimation methodologies.”
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution (2007, background): “Bauwens, Laurent, and Rombouts (2006) provide a recent review.”
Multivariate Rotated ARCH Models (2014, unknown): “Reviews of the multivariate generalized autoregressive conditional heteroskedasticity (GARCH) literature are given by, for example, Bauwens et al. (2006), Engle (2009a), Silvennoinen and Teräsvirta (2009) and Francq and Zakoian (2010, Ch. 11).”
Stationarity and geometric ergodicity of BEKK multivariate GARCH models (2011, background): “ the multivariate GARCH models are typically considerably more involved than the univariate one. For an overview over the various multivariate GARCH models existing and their applications we refer to [3, 31]. As always in time series modelling, existence and uniqueness of stationary solutions, as we”
A network analysis of the volatility of high dimensional financial series (2017, background): “However, volatilities can also be estimated from conditionally heteroscedastic models for financial returns such as multivariate generalized auto-regressive conditional heteroscedastic models (see, for instance, the survey by Bauwens et al. (2006)).”
Break detection in the covariance structure of multivariate time series models (2009, background): “We refrain hence from giving recommendations here but refer to the survey papers [7, 47] for additional reading.”
Safeguarding food security in volatile global markets. (2011, methodology): “The model used in this analysis is the DCC in the Engle (2002) specification that Bauwens et al. (2006) categorized as a nonlinear combination of univariate GARCH models. It can be regarded as a generalization of the Constant Conditional Correlation (CCC) model proposed by Bollerslev (1990). The qua”