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

variance parameterskurtosis parameterscontemporaneous aggregation of independent univariate GARCH processesmarginal processesmultivariate GARCH processesweak GARCH process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
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• Common Persistence in Conditional Variances
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• 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)

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

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