Marginalization and contemporaneous aggregation in multivariate GARCH processes

DOI10.1016/0304-4076(94)01695-XMaRDI QIDQ1915440zbMATH OpenOpenAlexFDO

Authors Enrique Sentana, Theo Nijman

Publication date 15 July 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01695-x

zbMATH Keywords

contemporaneous aggregation of independent univariate GARCH processeskurtosis parametersmarginal processesmultivariate GARCH processesvariance parametersweak GARCH process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common Persistence in Conditional Variances
• Factor representing portfolios in large asset markets
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Linear transformations of vector ARMA processes
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Temporal Aggregation of Garch Processes
• The relation between conditionally heteroskedastic factor models and factor GARCH models
• Time series analysis and simultaneous equation econometric models
• Volatility and Links between National Stock Markets

Cited in

(18)

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Closing the GARCH gap: Continuous time GARCH modeling
• Asymmetry in tail dependence in equity portfolios
• A suggestion for constructing a large time-varying conditional covariance matrix
• On the univariate representation of BEKK models with common factors
• Temporal aggregation of volatility models
• Aggregation and memory of models of changing volatility
• Temporal aggregation of multivariate GARCH processes
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• Causality and forecasting in temporally aggregated multivariate GARCH processes
• QML inference for volatility models with covariates
• Aggregation and marginalization of GARCH processes: some further results
• Contemporaneous aggregation of GARCH processes
• Factor Stochastic Volatility in Mean Models: A GMM Approach
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• Contemporaneous asymmetry in GARCH processes
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models

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