ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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Cites work
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- A full-factor multivariate GARCH model
- Adaptive estimation in time-series models
- Asymptotic theory for multivariate GARCH processes.
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
- Common Persistence in Conditional Variances
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Estimation When a Parameter is on a Boundary
- GARCH processes: structure and estimation
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Minimum distance estimation of GARCH(1,1) models
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- On the measurability and consistency of minimum contrast estimates
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Second-oder noncausality in multivariate GARCH processes
- Semiparametric multivariate volatility models
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Subadditive ergodic theory
Cited in
(28)- Regularly varying multivariate time series
- Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- Generalized dynamic factor models and volatilities: estimation and forecasting
- On the univariate representation of BEKK models with common factors
- A multivariate functional limit theorem in weak \(M_1\) topology
- Sequential conditional correlations: inference and evaluation
- On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
- Regularization for stationary multivariate time series
- Sequentiel testing for the stability of high-frequency portfolio betas
- Asymptotics for parametric GARCH-in-mean models
- QML estimation of a class of multivariate asymmetric GARCH models
- Asymptotic theory for a vector ARMA-GARCH model
- Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
- Two-step estimation for time varying ARCH models
- Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
- Asymptotic properties of multiplicative error models
- Proximity-structured multivariate volatility models
- Whittle estimation in multivariate CCC-GARCH processes
- Dynamic conditional eigenvalue GARCH
- High‐dimensional sparse multivariate stochastic volatility models
- Dynamic partial correlation models
- A semi-parametric factor-GARCH model for high dimensional covariance matrix estimation
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Model identification using the efficient determination criterion
- On asymptotic theory for multivariate GARCH models
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