Analytical score for multivariate GARCH models

DOI10.1023/A:1015001204774MaRDI QIDQ1611369zbMATH OpenOpenAlexFDO

Authors Riccardo Lucchetti

Publication date 21 August 2002

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1015001204774

zbMATH Keywords

conditional heteroskedasticitymaximum likelihood estimationmultivariate time series

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(9)

• Surveillance of the covariance matrix of multivariate nonlinear time series
• A Student-\(t\) full factor multivariate GARCH model
• Estimation of SEM with GARCH errors
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Artificial regression testing in the GARCH‐in‐mean model
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• Analytical derivates of the APARCH model
• Feasible optimum Godambe scores for a semi-parametric GARCH time series
• Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model

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