Estimating multivariate volatility models equation by equation

DOI10.1111/RSSB.12126MaRDI QIDQ5378149zbMATH OpenOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq

Publication date 12 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/rssb.12126

zbMATH Keywords

dynamic conditional correlationquasi-maximum-likelihood estimationconstant conditional correlationmultivariate generalized auto-regressive conditional heteroscedasticity specification testing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(25)

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• Dynamic partial correlation models
• Estimating factor models for multivariate volatilities: an innovation expansion method
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• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
• Modeling, simulation and inference for multivariate time series of counts using trawl processes
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• Sequential detection of parameter changes in dynamic conditional correlation models
• Estimating VAR-MGARCH models in multiple steps
• Estimation of multivariate asymmetric power GARCH models
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
• scientific article; zbMATH DE number 7234889 (Why is no real title available?)
• Fitting Vast Dimensional Time-Varying Covariance Models
• A scalar dynamic conditional correlation model: structure and estimation
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• Volatility estimation of multivariate ARMA-GARCH model
• Tests for conditional ellipticity in multivariate GARCH models
• Asymptotics of Cholesky GARCH models and time-varying conditional betas
• An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
• Efficient estimation of a multivariate multiplicative volatility model
• A residual bootstrap for conditional value-at-risk
• Multivariate rotated ARCH models

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