Multivariate GARCH models: a survey (original) (raw)
Multivariate GARCH Models
Annastiina Silvennoinen
2009
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2008
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Review of Economics and Statistics, 2003
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A Note on the Covariance Matrix of Multivariate GARCH Models
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GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics
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LECTURE NOTES ON GARCH MODELS
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2007
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Social Science Research Network, 2008
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Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
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Journal of Financial Econometrics, 2009
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BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY
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TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS-SPECTRUM APPROACH
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Documento de trabajo The Likelihood of Multivariate Garch Models is III-Conditioned
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A closed-form estimator for the multivariate GARCH model
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Journal of Multivariate Analysis, 2013
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A multivariate generalized independent factor GARCH model with an application to financial stock returns
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Modelling and Forecasting Conditional Covariances: DCC and Multivariate GARCH
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ARCH and GARCH Models: Quasi-Likelihood and Asymptotic Quasi-Likelihood Approaches
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The power log-GARCH model
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Economics Working Papers, 2010
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Variance Targeting Estimation of Multivariate GARCH Models
Lajos Kathy Horvath
Journal of Financial Econometrics, 2014
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Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Cristina Amado
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Asymptotic theory for multivariate GARCH processes
Fabienne Comte, O. Lieberman
Journal of Multivariate Analysis, 2003
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BayesDccGarch - An Implementation of Multivariate GARCH DCC Models
Francisco Louzada
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The likelihood of multivariate GARCH models is ill-conditioned
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Documentos De Trabajo, 1999
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GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics
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DCC-HEAVY: a multivariate GARCH model based on realized variances and correlations
Luc C A Bauwens
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Multivariate GARCH Models for the Greater China Stock Markets
Xiaojun Song
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On Moment Conditions for Quasi-Maximum Likelihood Estimation of Multivariate Arch Models
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A Family of Stochastic Unit GARCH Models
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