Estimating VAR-MGARCH models in multiple steps
DOI10.1515/SNDE-2012-0065zbMATH Open1329.62372OpenAlexW1965341735MaRDI QIDQ905385FDOQ905385
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
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Cites Work
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Title not available (Why is that?)
- Asymptotic theory for a vector ARMA-GARCH model
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Regime switching for dynamic correlations
- Multivariate GARCH Models
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- On the estimation of dynamic conditional correlation models
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
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