Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model

DOI10.1016/j.matcom.2009.07.001zbMath1176.91128OpenAlexW2067862850MaRDI QIDQ1037795

Mike K. P. So, Iris W. H. Yip

Publication date: 16 November 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.2009.07.001

zbMATH Keywords

financevolatilitydynamic correlationmultivariate GARCH models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (2)

Further properties of random orthogonal matrix simulation ⋮ Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations

Cites Work

• Regime switching for dynamic correlations
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Marginal Likelihood from the Gibbs Output
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• A Multivariate Threshold Varying Conditional Correlations Model
• Variance (Non) Causality in Multivariate GARCH
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• A full-factor multivariate GARCH model
• Marginal Likelihood From the Metropolis–Hastings Output
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

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