Feasible generalized least squares estimation of multivariate GARCH(1,1) models
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Publication:2015062
DOI10.1016/J.JMVA.2014.04.015zbMATH Open1359.62379OpenAlexW2053300876MaRDI QIDQ2015062FDOQ2015062
Authors: Federico Poloni, Giacomo Sbrana 
Publication date: 18 June 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.015
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Cites Work
- Asymptotic theory for multivariate GARCH processes.
- Analytical quasi maximum likelihood inference in multivariate volatility models
- Markov Chains and Stochastic Stability
- Title not available (Why is that?)
- On asymptotic theory for multivariate GARCH models
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
- A closed-form estimator for the multivariate GARCH(1,1) model
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
Cited In (8)
- A closed-form estimator for the multivariate GARCH(1,1) model
- An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- Estimating multivariate ARCH parameters by two-stage least-squares method
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- Feasible generalized least squares using support vector regression
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