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20122024
most citedGlobal self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models

90 citations · 100 across the 17 of their papers we have counts for

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Showing 2019 · math.STShow all

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math.ST2019★ 1 cited

Time series models for realized covariance matrices based on the matrix-F distribution

Jiayuan Zhou, Feiyu Jiang, Ke Zhu +1

We propose a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF model is capable of capturing heavy-tailed RCOV, which is…