Fitting vast dimensional time-varying covariance models by Shephard, N, Sheppard, K, Engle, R

“…Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied to hundreds or even thousands of assets. …”

Fitting vast dimensional time-varying covariance models by Pakel, C, Shephard, N, Sheppard, K, Engle, RF

“…Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose. …”

Fitting vast dimensional time-varying covariance models. by Engle, R, Shephard, N, Sheppard, K

“…Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied to hundreds or even thousands of assets. …”