Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

DOI10.1007/s10260-007-0066-4zbMath1184.62157OpenAlexW2004709621MaRDI QIDQ1039975

Giuseppe Storti

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

zbMATH Keywords

asymmetryEM algorithmmultivariate GARCHconditional correlationfutures hedgingrobust conditional moment tests

Mathematics Subject Classification ID

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

• MBL

Cites Work

• Unnamed Item
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