Large-scale volatility models: theoretical properties of professionals’ practice

DOI10.1111/j.1467-9892.2007.00571.xzbMath1199.62060OpenAlexW2168880228MaRDI QIDQ3552839

Paolo Zaffaroni

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00571.x

zbMATH Keywords

GARCHforecastingmultivariate volatility modelRiskMetrics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Theory of software (68N99)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Asymptotic Inference about Predictive Ability

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