Dynamic conditional eigenvalue GARCH

DOI10.1016/J.JECONOM.2021.09.003MaRDI QIDQ6090564zbMATH OpenOpenAlexFDO

Authors Simon Hetland, Rasmus Søndergaard Pedersen, Anders Rahbek

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://www.economics.ku.dk/research/publications/wp/dp_2019/1913.pdf

zbMATH Keywords

asymptotic theorygo-GARCHmultivariate GARCHreduced rank

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Asymptotic theory for multivariate GARCH processes.
• Bootstrap determination of the co-integration rank in vector autoregressive models
• GARCH models. Structure, statistical inference and financial applications
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Martingale Central Limit Theorems
• Method of moments estimation of GO-GARCH models
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Multivariate rotated ARCH models
• Multivariate variance targeting in the BEKK-GARCH model
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• On asymptotic theory for multivariate GARCH models
• On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
• QML estimation of a class of multivariate asymmetric GARCH models
• Testing for common conditionally heteroskedastic factors
• Testing GARCH-X type models
• Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis

Cited in

(4)

• Modeling Extreme Events: Time-Varying Extreme Tail Shape
• Reduced-Rank Envelope Vector Autoregressive Model
• A multivariate realized GARCH model
• Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations

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