Weighted scatter estimation method of the GO-GARCH models

DOI10.1111/j.1467-9892.2011.00741.xzbMath1300.62087OpenAlexW1947415389MaRDI QIDQ2930903

Lingyu Zheng, William W. S. Wei

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00741.x

zbMATH Keywords

time seriessingular value decompositionprincipal component analysisinfluence functionextended GARCH modelmultivariate volatility process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) 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) Economic time series analysis (91B84)

Cites Work

• Method of moments estimation of GO-GARCH models
• Robust m-estimators of multivariate location and scatter
• Generalized autoregressive conditional heteroscedasticity
• On the uniqueness of \(S\)-functionals and \(M\)-functionals under nonelliptical distributions.
• Sequential conditional correlations: inference and evaluation
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A full-factor multivariate GARCH model
• Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Robust Statistics
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Unnamed Item

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