Feasible generalized least squares estimation of multivariate GARCH(1,1) models

DOI10.1016/J.JMVA.2014.04.015MaRDI QIDQ2015062zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihoodfeasible generalized least squaresmultivariate GARCH(1,1)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• A closed-form estimator for the multivariate GARCH(1,1) model
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Asymptotic theory for multivariate GARCH processes.
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Markov Chains and Stochastic Stability
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• On asymptotic theory for multivariate GARCH models

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
• Feasible generalized least squares using support vector regression
• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

Describes a project that uses

Uses Software

• MFE toolbox

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