On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
From MaRDI portal
Publication:1025338
DOI10.1016/j.matcom.2008.12.008zbMath1163.62070OpenAlexW2026527199MaRDI QIDQ1025338
Heinz Neudecker, Shuangzhe Liu
Publication date: 18 June 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.008
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)
Related Items
A score test for detecting extreme values in a vector autoregressive model ⋮ Matrix derivatives and Kronecker products for the core and generalized core inverses ⋮ Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models ⋮ Spatial system estimators for panel models: a sensitivity and simulation study ⋮ Influence diagnostics in a vector autoregressive model ⋮ Matrix differential calculus with applications in the multivariate linear model and its diagnostics
Uses Software
Cites Work
- Quantitative methods for portfolio analysis. MTV model approach
- ARCH models and financial applications
- Generalized autoregressive conditional heteroscedasticity
- Estimation in conditionally heteroscedatic time series models.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a multivariate conditional heteroscedastic model
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Analysis of Financial Time Series
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item