Estimating multivariate volatility models equation by equation
DOI10.1111/RSSB.12126zbMATH Open1414.62362OpenAlexW2193043149MaRDI QIDQ5378149FDOQ5378149
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
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dynamic conditional correlationquasi-maximum-likelihood estimationconstant conditional correlationmultivariate generalized auto-regressive conditional heteroscedasticity specification testing
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)
Cited In (21)
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- Fitting Vast Dimensional Time-Varying Covariance Models
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
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- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- Estimation of multivariate asymmetric power GARCH models
- A scalar dynamic conditional correlation model: structure and estimation
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Tests for conditional ellipticity in multivariate GARCH models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Modeling, simulation and inference for multivariate time series of counts using trawl processes
- Efficient estimation of a multivariate multiplicative volatility model
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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