A Student-\(t\) full factor multivariate GARCH model

DOI10.1007/s10614-009-9179-1zbMath1310.91147OpenAlexW2064423175MaRDI QIDQ2655303

K. Diamantopoulos, Ioannis D. Vrontos

Publication date: 25 January 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9179-1

zbMATH Keywords

maximum likelihood estimationStudent-\(t\) distributionfat tailsautoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Point estimation (62F10)

Related Items

Dynamic factor multivariate GARCH model, Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations, Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model, Bayesian semiparametric multivariate GARCH modeling, CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS

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