Analytical quasi maximum likelihood inference in multivariate volatility models
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Publication:61439
DOI10.1007/S00184-007-0130-YzbMATH Open1433.62259OpenAlexW2143832469MaRDI QIDQ61439FDOQ61439
Authors: Christian M. Hafner, Helmut Herwartz, 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
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Cites Work
- 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
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Cited In (18)
- 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
- Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
- 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
- Analytical derivates of the APARCH model
- Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
- Analytical score for multivariate GARCH models
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