Pages that link to "Item:Q1915440"

The following pages link to Marginalization and contemporaneous aggregation in multivariate GARCH processes (Q1915440):

Displaying 17 items.

• Aggregation and memory of models of changing volatility (Q278251) (← links)
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
• Aggregation and marginalization of GARCH processes: some further results (Q478343) (← links)
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
• Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
• Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
• Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
• A suggestion for constructing a large time-varying conditional covariance matrix (Q1673539) (← links)
• On the univariate representation of BEKK models with common factors (Q1695673) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442) (← links)
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) (← links)
• Contemporaneous aggregation of GARCH processes (Q5430498) (← links)
• Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106) (← links)
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)
• Contemporaneous asymmetry in GARCH processes (Q5932779) (← links)
• Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680) (← links)