Asymptotic theory for multivariate GARCH processes (original) (raw)
Related papers
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
International Journal of Statistics and Probability
Multivariate GARCH models: a survey
Journal of applied …, 2006
2008
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021
Económico Asymptotic Theory for Rotated Multivariate GARCH Models
2018
Asymptotic Theory for Rotated Multivariate GARCH Models
Econometric Institute Research Papers, 2018
2009
Variance Targeting Estimation of Multivariate GARCH Models
Journal of Financial Econometrics, 2014
Efficient estimation in semiparametric GARCH models
Journal of Econometrics, 1997
Asymptotic Inference for Nonstationary Garch
Econometric Theory, 2004
BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY
A Note on the Covariance Matrix of Multivariate GARCH Models
ARCH and GARCH Models: Quasi-Likelihood and Asymptotic Quasi-Likelihood Approaches
2020
Journal of Financial Econometrics, 2009
Documento de trabajo The Likelihood of Multivariate Garch Models is III-Conditioned
2015
Inference for some multivariate ARCH and GARCH models
Journal of Forecasting, 2003
The likelihood of multivariate GARCH models is ill-conditioned
Documentos De Trabajo, 1999
Analytic moments for GARCH processes
2009
Economics Working Papers, 2010
A closed-form estimator for the multivariate GARCH model
Journal of Multivariate Analysis, 2013
A full-factor multivariate GARCH model
D. Politis, Petros Dellaportas
Econometrics Journal, 2003
Flexible multivariate GARCH modeling with an application to international stock markets
Review of Economics and Statistics, 2003
Social Science Research Network, 2008
Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
2011
Inference for 2-D GARCH models
Estimation of Asymmetric Garch Models: The Estimating Functions Approach
2014
Semiparametric efficient adaptive estimation of asymmetric GARCH models
Journal of Econometrics, 2006
The GARCH(1,1)-M model: results for the densities of the variance and the mean
Insurance: Mathematics and Economics, 1999
Feasible generalized least squares estimation of multivariate GARCH(1, 1) models
Journal of Multivariate Analysis, 2014
International Economic Review, 2011
A Family of Stochastic Unit GARCH Models
International Journal of Economics and Finance, 2012
Bayesian semiparametric GARCH models
2011
On the Nonparametric Tests of Univariate GARCH Regression Models
2011