Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
From MaRDI portal
Publication:1039975
DOI10.1007/s10260-007-0066-4zbMath1184.62157OpenAlexW2004709621MaRDI QIDQ1039975
Publication date: 23 November 2009
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-007-0066-4
asymmetryEM algorithmmultivariate GARCHconditional correlationfutures hedgingrobust conditional moment tests
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)
Uses Software
Cites Work
- Unnamed Item
- Analytical quasi maximum likelihood inference in multivariate volatility models
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Likelihood inference in BL-GARCH models
- Analytical score for multivariate GARCH models
- BL-GARCH models and asymmetries in volatility
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Likelihood stabilization for ill-conditioned vector GARCH models
- A multivariate FGD technique to improve VaR computation in equity markets
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models