Fitting and Testing Vast Dimensional Time-Varying Covariance Models

By Robert F. Engle, N. Shephard, Kevin Sheppard. 2007

53 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dd98eb41c822cd4726ffbf13c30b88a97a7a4491

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Citations in the corpus

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios (2008, methodology): “For covariance between illiquid stocks, one can use low frequency model or even a parametric model such as GARCH models (see Engle, 1995; Engle et al., 2008).”
Modeling the Dynamics of Correlations Among Implied Volatilities (2015, methodology): “This method is compared with composite likelihood by Engle et al. (2008).”
The maximum approximate composite marginal likelihood (MACML) estimation of multinomial probit-based unordered response choice models (2011, methodology): “),( Prob),( 1 1 1 3 wwtt T t T tw CML mCmCL ===∏∏ − = += yθ (12) Almost all earlier research efforts employing the CML technique have used the pairwise approach, including Apanasovich et al., (2008), Varin and Vidoni (2009), Engle et al. (2007), Bhat et al. (2010a), and Bhat and Sener (2009).”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “Instead of attempting a direct estimation of the DCC model for the whole vector of returns, we rely on the profile likelihood approach of Engle et al. (2008) and estimate the parameters that maximize the sum of likelihoods of bivariate DCC models of 50 pairs, chosen randomly from the whole…”
A comparison of the maximum simulated likelihood and composite marginal likelihood estimation approaches in the context of the multivariate ordered-response model (2010, methodology): “Almost all earlier research efforts employing the CML technique have used the pairwise approach, including Apanasovich et al. (2008), Bellio and Varin (2005), de Leon (2005), Varin and Vidoni (2009), Varin et al. (2005), and Engle et al. (2007).”
The intertemporal capital asset pricing model with dynamic conditional correlations (2010, methodology): “Engle et al. (2008) introduce a new estimation methodology that has some similarities to the MacGyver strategy, but it is more efficient. bivariate GARCH-in-mean model are estimated first and then the median values of A, a1 and a2 are used as starting values along with the bivariate GARCH-in-mean…”
AN OVERVIEW OF COMPOSITE LIKELIHOOD METHODS (2011, background): “Composite likelihood inference with very large numbers of nuisance parameters is also considered in Engle, Shephard, and Sheppard (2009) and Pakel, Shephard, and Sheppard (2011).”
A latent variable representation of count data models to accommodate spatial and temporal dependence: application to predicting crash frequency at intersections (2011, result): “These earlier studies include Apanasovich et al., (2008), Varin and Vidoni (2009), Engle et al. (2007), Bhat et al. (2010a), and Bhat and Sener (2009).”