A simple multivariate ARCH model specified by random coefficients

DOI10.1016/J.CSDA.2005.11.019MaRDI QIDQ1010530zbMATH OpenOpenAlexFDO

Authors Wai Keung Li, Hongzhi An, Pak Wing Fong

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.11.019

zbMATH Keywords

maximum likelihood estimationlikelihood ratio testHadamard productrandom coefficient modelstar productmultivariate autoregressive conditional heteroscedasticitynonconstant correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3724615 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• An introduction to stochastic unit-root processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroscedastic Time Series Models
• Matrix derivatives with an application to an adaptive linear decision problem
• Multivariate modelling of the autoregressive random variance process
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On a multivariate conditional heteroscedastic model
• Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing

Cited in

(8)

• Identifying financial time series with similar dynamic conditional correlation
• scientific article; zbMATH DE number 1054377 (Why is no real title available?)
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
• Modelling subset multivariate ARCH model via the AIC principle
• On an independent and identically distributed mixture bilinear time-series model
• Recursive online EM estimation of mixture autoregressions
• Large-scale volatility models: theoretical properties of professionals’ practice
• Multivariate rotated ARCH models

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