Ilya Archakov, Peter Reinhard Hansen, Asger Lunde
arXiv 4 Dec 2020 · Econometrics · publishedJournal of Econometrics (2025) · 12 citations (OpenAlex)
arXiv:2012.02708 · PDF · DOI · OpenAlex · Extracted main text
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations. This approach elegantly addresses the main challenge faced by multivariate GARCH models in high-dimensional settings. As an illustration, we explore block correlation matrices that naturally simplify to linear factor models for the conditional correlations. The model is applied to the returns of nine assets, and its in-sample and out-of-sample performance compares favorably against several popular benchmarks.
appendix boundary found by appendix_command · 72% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Engle, R. and Kelly, B (2012) Dynamic equicorrelation | 1.000 | 9 | 4 | 100% |
| 2 | Hansen, P. R., Lunde, A., and Voev, V (2014) Realized beta GARCH: A multivariate GARCH model with realized measures of volatility self | 0.956 | 8 | 5 | 88% |
| 3 | Archakov, I. and Hansen, P. R (2024) A canonical representation of block matrices with applications to covariance and correlation matrices self | 0.888 | 10 | 4 | 70% |
| 4 | Hansen, P. R., Huang, Z., and Shek, H (2012) Realized GARCH: A joint model of returns and realized measures of volatility self | 0.843 | 3 | 3 | 100% |
| 5 | Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H (2001) The distribution of realized stock return volatility | 0.811 | 4 | 2 | 100% |
| 6 | Archakov, I. and Hansen, P. R (2021) A new parametrization of correlation matrices self | 0.737 | 4 | 3 | 50% |
| 7 | Hansen, P. R. and Huang, Z (2016) Exponential GARCH modeling with realized measures of volatility self | 0.737 | 3 | 3 | 67% |
| 8 | Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P (2001) The distribution of realized exchange rate volatility | 0.737 | 3 | 2 | 100% |
| 9 | Aielli, G. P (2013) Dynamic conditional correlation: on properties and estimation | 0.644 | 2 | 2 | 100% |
| 10 | Barndorff-Nielsen, O. E. and Shephard, N (2004) Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 62 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Cluster GARCH | 0.928 | 4 | 3 |
| 2 | A Robust Similarity Estimator | 0.811 | 4 | 2 |
| 3 | Characterizing Correlation Matrices that Admit a Clustered Factor Representation | 0.405 | 1 | 1 |
| 4 | Dynamic Factor Correlation Model | 0.405 | 1 | 1 |
| 5 | Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity | 0.405 | 1 | 1 |