Dynamic factor multivariate GARCH model (Q1623556): Difference between revisions

@@ Property / DOI @@
-.1016/j.csda.2012.09.010
@@ Property / DOI: 10.1016/j.csda.2012.09.010 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2012.09.010
+Normal rank
@@ Property / OpenAlex ID @@
+W3121775877
@@ Property / OpenAlex ID: W3121775877 / rank @@
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Robust M-estimation of multivariate GARCH models
@@ Property / cites work: Robust M-estimation of multivariate GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+A component model for dynamic correlations
@@ Property / cites work: A component model for dynamic correlations / rank @@
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+A Student-\(t\) full factor multivariate GARCH model
+Normal rank
@@ Property / cites work @@
+Q2891271
@@ Property / cites work: Q2891271 / rank @@
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
+Normal rank
@@ Property / cites work @@
+A Tour in the Asymptotic Theory of GARCH Estimation
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Asymmetric multivariate normal mixture GARCH
@@ Property / cites work: Asymmetric multivariate normal mixture GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+On the estimation of dynamic conditional correlation models
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
+Normal rank
@@ Property / cites work @@
+Multivariate GARCH Models
@@ Property / cites work: Multivariate GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+A full-factor multivariate GARCH model
@@ Property / cites work: A full-factor multivariate GARCH model / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank
@@ Property / cites work @@
+Practical Issues in the Analysis of Univariate GARCH Models
+Normal rank
@@ Property / DOI @@
+.1016/J.CSDA.2012.09.010
@@ Property / DOI: 10.1016/J.CSDA.2012.09.010 / rank @@
+Normal rank