A Primer on the Orthogonal GARCH Model
By Carol Alexander. 2001
83 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/d284cd92ff6087f1c4d1c1833eb609c9d24fdeae
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- Stavros Degiannakis *
- Evdokia Xekalaki
- Alessandro Palandri
- George Filis
- R. Brooks
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Citations in the corpus
- Sequential Conditional Correlations: Inference and Evaluation (2009, background): “(5)Specifications that eliminate the dimensionality problem altogether do exist in the literature, such as the scalar versions of the BEKK and DCC and the Orthogonal-GARCH of Alexander and Chibumba (1997), but they achieve such result under very strong assumptions about the dynamics of the elements ”
- Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, background): “Econometrica, 70(1), 223- 262 Alexander, C. (2000).”
- Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH (2001, unknown): “(ii) {A22,T = ∇ψψL̄2T (θ0)} is O(1) and uniformly negative definite.”