Cholesky GAS models for large time-varying covariance matrices-Reference-Cited by-同舟云学术

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Cholesky GAS models for large time-varying covariance matrices

Published:2024-03 Issue:1 Volume:9 Page:115-142
ISSN:2096-2320
Container-title:Journal of Management Science and Engineering
language:en
Short-container-title:Journal of Management Science and Engineering

Author:

Zheng Tingguo,Ye Shiqi^ORCID

Funder

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Chinese National Funding of Social Sciences

Humanities and Social Science Fund of Ministry of Education of the People's Republic of China

Publisher

Elsevier BV

Subject

Management of Technology and Innovation,Strategy and Management,Engineering (miscellaneous),Business and International Management,Control and Systems Engineering,Management Information Systems,General Decision Sciences

Reference70 articles.

1. Bayesian dynamic factor models and portfolio allocation;Aguilar;J. Bus. Econ. Stat.,2000

2. Dynamic conditional correlation: on properties and estimation;Aielli;J. Bus. Econ. Stat.,2013

3. Principal component models for generating large garch covariance matrices;Alexander;Econ. Notes,2002

4. Time-varying transition probabilities for markov regime switching models;Bazzi;J. Time Anal.,2017

5. Accelerating score-driven time series models;Blasques;J. Econom.,2019

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1. Monetary policies on green financial markets: Evidence from a multi-moment connectedness network;Energy Economics;2024-08

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