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ArticleA multivariate realized GARCH model

Ilya Archakov2025

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Articlegreen2025

A multivariate realized GARCH model

Ilya Archakov · Peter Reinhard Hansen · Asger Lunde

21 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002Dynamic Conditional Correlation 2003Modeling and Forecasting Realized Volatility 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 2001The distribution of realized stock return volatility

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2021A dynamic conditional score model for the log correlation matrix

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Year2025

Typearticle

Published2025-05-31

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2025.106040

openalex_workW3110775583

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