On the parametrization of multivariate GARCH models

DOI10.1017/S026646660707020XzbMATH Open1274.62618OpenAlexW2111481103MaRDI QIDQ2886953FDOQ2886953

Authors: Wolfgang Scherrer, Eva Ribarits 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660707020x

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Semidefinite Programming

Cited In (18)

• Two Cholesky-log-GARCH models for multivariate volatilities
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
• An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Practical Issues in the Analysis of Univariate GARCH Models
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• A scalar dynamic conditional correlation model: structure and estimation
• Multivariate variance targeting in the BEKK-GARCH model
• Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
• On the univariate representation of BEKK models with common factors
• Parallel constrained Hamiltonian Monte Carlo for BEKK model comparison
• Title not available (Why is that?)
• ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• Analytical score for multivariate GARCH models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

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