Analytical quasi maximum likelihood inference in multivariate volatility models

DOI10.1007/S00184-007-0130-YzbMATH Open1433.62259OpenAlexW2143832469MaRDI QIDQ61439FDOQ61439

Authors Christian M. Hafner, Helmut Herwartz, Christian M. Hafner, Helmut Herwartz 

Publication date 16 March 2007

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://repub.eur.nl/pub/1721/feweco20030806160716.pdf

zbMATH Keywords

multivariate GARCH modelsquasi maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• Analytical score for multivariate GARCH models
• Asymptotic theory for multivariate GARCH processes.
• Bootstrap inference in systems of single equation error correction models
• Generalized autoregressive conditional heteroscedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Testing for linear autoregressive dynamics under heteroskedasticity

Cited In (18)

• Unrestricted maximum likelihood estimation of multivariate realized volatility models
• Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Robust parametric tests of constant conditional correlation in a MGARCH model
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models
• Influence diagnostics for multivariate GARCH processes
• Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
• Whittle estimation in multivariate CCC-GARCH processes
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
• A Student-\(t\) full factor multivariate GARCH model
• Estimation of SEM with GARCH errors
• Quasi-optimal Bayesian procedures of many hypotheses testing
• BEKKs
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• Analytical derivates of the APARCH model
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Analytical score for multivariate GARCH models

Uses Software

• JMulTi

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