IDENTIFICATION OF COVARIANCE STRUCTURES

DOI10.1017/S0266466606060105MaRDI QIDQ5438202zbMATH OpenFDO

Authors Riccardo Lucchetti

Publication date 23 January 2008

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466606060105

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) System identification (93B30)

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Cites work

• A full-factor multivariate GARCH model
• Identification in Parametric Models
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

Cited in

(7)

• Identification of linear stochastic models with covariance restrictions
• Calculation of invariants in identification of covariance structures
• A topological view on the identification of structural vector autoregressions
• Identifiability of structural singular vector autoregressive models
• On identification of multi-factor models with correlated residuals
• Proximity-structured multivariate volatility models
• Correction of Caporin and Paruolo (2015)

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