Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

DOI10.1007/S10260-007-0066-4MaRDI QIDQ1039975zbMATH OpenOpenAlexFDO

Authors Giuseppe Storti

Publication date 23 November 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-007-0066-4

zbMATH Keywords

asymmetryEM algorithmmultivariate GARCHconditional correlationfutures hedgingrobust conditional moment tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A multivariate FGD technique to improve VaR computation in equity markets
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Analytical score for multivariate GARCH models
• BL-GARCH models and asymmetries in volatility
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Likelihood inference in BL-GARCH models
• Likelihood stabilization for ill-conditioned vector GARCH models
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited in

(3)

• BL-GARCH models and asymmetries in volatility
• BL-GARCH models with elliptical distributed innovations
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

Describes a project that uses

Uses Software

• MBL

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