Network GARCH model

DOI10.5705/SS.202018.0234MaRDI QIDQ4986327zbMATH OpenOpenAlexFDO

Authors Jing Zhou, Dong Li, Rui Pan, Hansheng Wang

Publication date 27 April 2021

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202018.0234

zbMATH Keywords

GARCH modelmultivariate GARCH modelnetwork structurequasi-maximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(30)

• Network vector autoregression
• A case study on the shareholder network effect of stock market data: an SARMA approach
• Grouped spatial autoregressive model
• NetVIX -- a network volatility index of financial markets
• Huber estimation for the network autoregressive model
• Softplus negative binomial network autoregression
• Grouped network Poisson autoregressive model
• High-frequency-based volatility model with network structure
• Dynamic panel data quantile regression with network-linked fixed effects
• Authors' reply to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Nuo Xu and Fukang Zhu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• G. Tunnicliffe-Wilson's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Maozai Tian and Tan Meng's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Yanbo Tang's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Alessandra Luati's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Hengxu Liu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Kuldeep Kumar's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• R. Killick, J. Wilson, X. Chen, and R. Lund's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Rajendra Bhansali's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Cristian F. Jiménez-Varón and Marina I. Knight's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Andrej Srakar's contribution to the discussion of `new tools for network time series with an application to Covid-19 hospitalizations' by Nason et al..
• David Hand's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Mirko Armillotta and Konstantinos Fokianos' contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Seconder of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• Proposer of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
• New tools for network time series with an application to Covid-19 hospitalizations
• Change point estimation for high-dimensional time series with network structure
• Negative binomial community network vector autoregression for multivariate integer-valued time series
• Factor Network Autoregressions
• Testing Linearity for Network Autoregressive Models

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