SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
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Publication:2886942
DOI10.1017/S0266466607070119zbMath1237.62117OpenAlexW3023322961MaRDI QIDQ2886942
Christian M. Hafner, Jeroen V. K. Rombouts
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070119
Nonparametric regression and quantile regression (62G08) 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) Nonparametric estimation (62G05)
Related Items (11)
On asymptotic theory for multivariate GARCH models ⋮ New testing approaches for mean-variance predictability ⋮ Semi- and nonparametric ARCH processes ⋮ Bayesian semiparametric multivariate GARCH modeling ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ On the efficiency of a semi‐parametric GARCH model ⋮ Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class ⋮ Consistent non-Gaussian pseudo maximum likelihood estimators ⋮ ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL ⋮ Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations ⋮ Identification of structural multivariate GARCH models
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