Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (Q1039975): Difference between revisions

@@ Property / describes a project that uses @@
+MBL
@@ Property / describes a project that uses: MBL / 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/10.1007/s10260-007-0066-4
+Normal rank
@@ Property / OpenAlex ID @@
+W2004709621
@@ Property / OpenAlex ID: W2004709621 / rank @@
+Normal rank
@@ Property / cites work @@
+A multivariate FGD technique to improve VaR computation in equity markets
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
+Normal rank
@@ Property / cites work @@
+Analytical quasi maximum likelihood inference in multivariate volatility models
+Normal rank
@@ Property / cites work @@
+Likelihood stabilization for ill-conditioned vector GARCH models
+Normal rank
@@ Property / cites work @@
+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Analytical score for multivariate GARCH models
@@ Property / cites work: Analytical score for multivariate GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
+Normal rank
@@ Property / cites work @@
+AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
+Normal rank
@@ Property / cites work @@
+BL-GARCH models and asymmetries in volatility
@@ Property / cites work: BL-GARCH models and asymmetries in volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood inference in BL-GARCH models
@@ Property / cites work: Likelihood inference in BL-GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
+Normal rank
@@ Property / cites work @@
+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1039975