On the parametrization of multivariate GARCH models

DOI10.1017/S026646660707020XMaRDI QIDQ2886953zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• 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
• scientific article; zbMATH DE number 1222303 (Why is no real title available?)
• ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
• Analytical score for multivariate GARCH models
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• 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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