Multivariate modelling of the autoregressive random variance process

DOI10.1111/1467-9892.00060MaRDI QIDQ4351582zbMATH OpenOpenAlexFDO

Authors

Publication date 14 December 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00060

zbMATH Keywords

autoregressive random variance processEM algorithmobserved information matrixstochastic volatility

Mathematics Subject Classification ID

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

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Cited in

(12)

• A simple multivariate ARCH model specified by random coefficients
• The Wishart autoregressive process of multivariate stochastic volatility
• MULTIVARIATE ECOGARCH PROCESSES
• scientific article; zbMATH DE number 3879936 (Why is no real title available?)
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• An empirical Bayesian forecast in the threshold stochastic volatility models
• Option pricing under autoregressive random variance models
• Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
• Multivariate elliptically contoured autoregressive process
• High‐dimensional sparse multivariate stochastic volatility models
• Hierarchical modeling of multiple synchronized irregularly spaced financial returns
• A multivariate threshold stochastic volatility model

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