Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

DOI10.1007/S10260-007-0066-4zbMATH Open1184.62157OpenAlexW2004709621MaRDI QIDQ1039975FDOQ1039975

Authors: 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

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zbMATH Keywords

asymmetryEM algorithmmultivariate GARCHconditional correlationfutures hedgingrobust conditional moment tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Analytical score for multivariate GARCH models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Title not available (Why is that?)
• Analytical quasi maximum likelihood inference in multivariate volatility models
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• BL-GARCH models and asymmetries in volatility
• A multivariate FGD technique to improve VaR computation in equity markets
• Likelihood inference in BL-GARCH models
• Likelihood stabilization for ill-conditioned vector GARCH models

Cited In (3)

• BL-GARCH models and asymmetries in volatility
• BL-GARCH models with elliptical distributed innovations
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

Uses Software

• MBL

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