Likelihood stabilization for ill-conditioned vector GARCH models
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Publication:2430220
DOI10.1007/s00180-007-0104-6zbMath1224.62059OpenAlexW2049847355MaRDI QIDQ2430220
José Casals, Sonia Sotoca, Miguel Jerez
Publication date: 6 April 2011
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-007-0104-6
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Intervention Analysis with Applications to Economic and Environmental Problems
- Forecasting Using Principal Components From a Large Number of Predictors
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