Pages that link to "Item:Q2445735"
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The following pages link to Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis (Q2445735):
Displayed 9 items.
- Goodness-of-fit tests for multivariate Laplace distributions (Q552077) (← links)
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
- Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
- On conditional covariance modelling: an approach using state space models (Q1659121) (← links)
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
- On the estimation of dynamic conditional correlation models (Q1927134) (← links)
- Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm (Q2146464) (← links)
- Goodness‐of‐fit tests for the multivariate Student‐<i>t</i> distribution based on i.i.d. data, and for GARCH observations (Q6194056) (← links)