Estimating VAR-MGARCH models in multiple steps

DOI10.1515/SNDE-2012-0065MaRDI QIDQ905385zbMATHOpenAlexFDO

Authors M. Angeles Carnero, M. Hakan Eratalay

Publication date 19 January 2016

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10045/47217

zbMATH Keywords

financial marketsvolatility spillovers

Mathematics Subject Classification ID

Point estimation (62F10) 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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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Asymptotic theory for a vector ARMA-GARCH model
• Multivariate GARCH Models
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• On the estimation of dynamic conditional correlation models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Regime switching for dynamic correlations

Cited in

(3)

• Estimation of C-MGARCH models based on the MBP method
• Estimating multivariate volatility models equation by equation
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis

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