Estimating multivariate volatility models equation by equation

DOI10.1111/RSSB.12126MaRDI QIDQ5378149zbMATH OpenOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq

Publication date 12 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/rssb.12126

zbMATH Keywords

constant conditional correlationdynamic conditional correlationmultivariate generalized auto-regressive conditional heteroscedasticity specification testingquasi-maximum-likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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