Estimation of multivariate asymmetric power GARCH models
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Cites work
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Cited in
(15)- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- Asymmetric multivariate normal mixture GARCH
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Asymmetric vector moving average models: estimation and testing
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- An analysis of the flexibility of asymmetric power GARCH models
- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
- Estimation of multivariate asymmetric power GARCH models
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- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
- QML estimation of a class of multivariate asymmetric GARCH models
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