A Student-\(t\) full factor multivariate GARCH model (Q2655303): Difference between revisions

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+Ioannis D. Vrontos
@@ Property / author: Ioannis D. Vrontos / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10614-009-9179-1
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+W2064423175
@@ Property / OpenAlex ID: W2064423175 / rank @@
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@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+ARCH modeling in finance. A review of the theory and empirical evidence
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+Asymptotic theory for multivariate GARCH processes.
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+Analytical derivates of the APARCH model
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+Analytical score for multivariate GARCH models
@@ Property / cites work: Analytical score for multivariate GARCH models / rank @@
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+Q4272853
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+A full-factor multivariate GARCH model
@@ Property / cites work: A full-factor multivariate GARCH model / rank @@
+Normal rank