Analytical quasi maximum likelihood inference in multivariate volatility models

DOI10.1007/S00184-007-0130-YzbMATH Open1433.62259OpenAlexW2143832469MaRDI QIDQ61439FDOQ61439

Helmut Herwartz, Christian M. Hafner, Christian M. Hafner, Helmut Herwartz

Publication date: 16 March 2007

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://repub.eur.nl/pub/1721/feweco20030806160716.pdf

zbMATH Keywords

multivariate GARCH modelsquasi maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Analytical score for multivariate GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Bootstrap inference in systems of single equation error correction models
• Testing for linear autoregressive dynamics under heteroskedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited In (15)

• Unrestricted maximum likelihood estimation of multivariate realized volatility models
• Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Robust parametric tests of constant conditional correlation in a MGARCH model
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models
• Influence diagnostics for multivariate GARCH processes
• Whittle estimation in multivariate CCC-GARCH processes
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
• A Student-\(t\) full factor multivariate GARCH model
• Estimation of SEM with GARCH errors
• Quasi-optimal Bayesian procedures of many hypotheses testing
• BEKKs
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting

Uses Software

• JMulTi

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