Pages that link to "Item:Q842922"
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The following pages link to On asymptotic theory for multivariate GARCH models (Q842922):
Displaying 43 items.
- On nonergodicity for nonparametric autoregressive models (Q681119) (← links)
- Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
- Model identification using the efficient determination criterion (Q739604) (← links)
- Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
- Testing for nonlinearity in conditional covariances (Q1695687) (← links)
- Emerging markets in the global economic network: real(ly) decoupling? (Q1782571) (← links)
- A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
- Feasible generalized least squares estimation of multivariate GARCH(1,1) models (Q2015062) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Identification of structural multivariate GARCH models (Q2116335) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
- Multivariate rotated ARCH models (Q2512636) (← links)
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (Q2658800) (← links)
- Asymmetric volatility impulse response functions (Q2681836) (← links)
- Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity (Q2691763) (← links)
- Realized BEKK-CAW models (Q2693372) (← links)
- TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
- ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
- SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (Q2909249) (← links)
- (Q4986371) (← links)
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
- Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254) (← links)
- CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH (Q5065457) (← links)
- Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
- Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations (Q5095824) (← links)
- Two‐Step Estimation for Time Varying Arch Models (Q5121011) (← links)
- On testing for causality in variance between two multivariate time series (Q5218935) (← links)
- Proximity-Structured Multivariate Volatility Models (Q5863553) (← links)
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (Q6086165) (← links)
- Dynamic conditional eigenvalue GARCH (Q6090564) (← links)
- Dynamic factor copula models with estimated cluster assignments (Q6090586) (← links)
- Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables (Q6097545) (← links)
- Testing the martingale difference hypothesis in high dimension (Q6108287) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Central limit theorems for high dimensional dependent data (Q6178582) (← links)
- Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process (Q6498642) (← links)
- A note on the tails of the GO-GARCH process (Q6537774) (← links)
- On spatial contagion and multivariate GARCH models (Q6570580) (← links)
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (Q6573446) (← links)
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach (Q6586883) (← links)
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models (Q6586892) (← links)
- Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models (Q6626310) (← links)
