Sequential estimation of shape parameters in multivariate dynamic models

DOI10.1016/J.JECONOM.2013.04.010zbMATH Open1288.62118OpenAlexW2128387996MaRDI QIDQ2453083FDOQ2453083

Authors: Dante Amengual, Gabriele Fiorentini, Enrique Sentana 

Publication date: 6 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.cemfi.es/ftp/wp/1201.pdf

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zbMATH Keywords

confidence intervalsefficient estimationelliptical distributionsrisk managementsystemic riskglobal systematically important banks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sequential estimation (62L12)

Cites Work

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• Two Stage and Related Estimators and Their Applications
• Asset allocation under multivariate regime switching
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• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation

Cited In (5)

• Sequential shrinkage estimation
• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• The moment estimates order promotion of the financial asset returns ``fat tail distribution shape parameter based on second order expansion form
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Specification tests for non-Gaussian structural vector autoregressions

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