Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

DOI10.1007/s10260-007-0066-4zbMath1184.62157MaRDI QIDQ1039975

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

asymmetry; EM algorithm; multivariate GARCH; conditional correlation; futures hedging; robust conditional moment tests

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F35: Robustness and adaptive procedures (parametric inference)

Uses Software

• MBL

Cites Work

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