Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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Cites work
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Cited in
(only showing first 100 items - show all)- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
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- Estimation of SEM with GARCH errors
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- A robust LR test for the GARCH model
- Dependence between stock returns and investor sentiment in Chinese markets: a copula approach
- Optimal oil production and the world supply of oil
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- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Quasi-maximum likelihood estimation for conditional quantiles
- Neglecting parameter changes in GARCH models
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- New testing approaches for mean-variance predictability
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- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Multivariate asset price dynamics with stochastic covariation
- ECF estimation of Markov models where the transition density is unknown
- Bootstrap unit root tests in models with GARCH(1,1) errors
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