Martin Burda,Adrian K Schroeder Martin Burda

We develop a hybrid model of multivariate volatility that uses recurrent neural networks to capture the conditional variances of latent orthogonal factors in a GO-GARCH framework. Our approach seeks to balance model flexibility with ease of...

Christian Gourieroux,Joann Jasiak Christian Gourieroux

The parametric estimators applied by rolling are commonly used for the analysis of time series with nonlinear patterns, including time varying parameters and local trends. This paper examines the properties of rolling estimators in the clas...