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A Geometric GARCH Framework for Covariance Dynamics

https://doi.org/10.2139/ssrn.2827358
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.1152openalex-extracted
Modelling and forecasting multivariate realized volatility
inferredcites →https://doi.org/10.1002/jae.1248openalex-extracted
On the forecasting accuracy of multivariate GARCH models
inferredcites →https://doi.org/10.1002/jae.1260openalex-extracted
Multivariate high‐frequency‐based volatility (HEAVY) models
inferredcites →https://doi.org/10.1002/jae.688openalex-extracted
GO‐GARCH: a multivariate generalized orthogonal GARCH model
inferredcites →https://doi.org/10.1002/jae.800openalex-extracted
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
inferredcites →https://doi.org/10.1002/jae.842openalex-extracted
Multivariate GARCH models: a survey
inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-extracted
Monte Carlo Methods in Financial Engineering
inferredcites →https://doi.org/10.1007/978-3-540-27816-0_8openalex-extracted
Principal Geodesic Analysis on Symmetric Spaces: Statistics of Diffusion Tensors
inferredcites →https://doi.org/10.1007/978-3-540-71297-8openalex-extracted
Handbook of Financial Time Series
inferredcites →https://doi.org/10.1007/s10851-006-6897-zopenalex-extracted
Statistics on the Manifold of Multivariate Normal Distributions: Theory and Application to Diffusion Tensor MRI Processing
inferredcites →https://doi.org/10.1007/s11156-017-0618-0openalex-extracted
A geometric treatment of time-varying volatilities
inferredcites →https://doi.org/10.1016/j.ijforecast.2007.09.001openalex-extracted
Are combination forecasts of S&P 500 volatility statistically superior?
inferredcites →https://doi.org/10.1016/j.jeconom.2005.06.023openalex-extracted
Matrix exponential GARCH
inferredcites →https://doi.org/10.1017/cbo9780511569708.008openalex-extracted
A Geometric View of Interest Rate Theory
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-extracted
Multivariate Simultaneous Generalized ARCH
inferredcites →https://doi.org/10.1063/1.1358202openalex-extracted
Valuation of financial models with non-linear state spaces
inferredcites →https://doi.org/10.1080/14697680903468963openalex-extracted
Interest rate models on Lie groups
inferredcites →https://doi.org/10.1086/261527openalex-extracted
A Capital Asset Pricing Model with Time-Varying Covariances
inferredcites →https://doi.org/10.1093/jjfinec/nbl005openalex-extracted
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
inferredcites →https://doi.org/10.1098/rspa.2003.1238openalex-extracted
On the geometry of the term structure of interest rates
inferredcites →https://doi.org/10.1109/cvpr.2003.1211342openalex-extracted
Statistics of shape via principal geodesic analysis on Lie groups
inferredcites →https://doi.org/10.1111/1368-423x.t01-1-00111openalex-extracted
A full-factor multivariate GARCH model
inferredcites →https://doi.org/10.1111/1467-9965.00065openalex-extracted
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options
inferredcites →https://doi.org/10.1111/j.1467-985x.2010.00663_2.xopenalex-extracted
Handbook of Financial Time Series
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-extracted
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1137/s0895479803436937openalex-extracted
A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/073500106000000404openalex-extracted
A Multivariate Generalized Orthogonal Factor GARCH Model
inferredcites →https://doi.org/10.1287/mnsc.1050.0415openalex-extracted
Importance Sampling for Portfolio Credit Risk
inferredcites →https://doi.org/10.2139/ssrn.2007484openalex-extracted
Multivariate Rotated ARCH Models
inferredcites →https://doi.org/10.2139/ssrn.2214997openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.264571openalex-extracted
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?
inferredcites →https://doi.org/10.2139/ssrn.411062openalex-extracted
Multivariate GARCH Models: A Survey
inferredcites →https://doi.org/10.2307/2329067openalex-extracted
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.1016/j.jeconom.2013.10.003openalex-snapshot
Multivariate rotated ARCH models
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.008openalex-snapshot
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

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inferred← citeshttps://doi.org/10.48550/arxiv.1710.05829openalex-snapshot
Non-Euclidean Conditional Expectation and Filtering
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