Semiparametric multivariate GARCH models
From MaRDI portal
Recommendations
- Semiparametric multivariate volatility models
- Efficient estimation of a multivariate multiplicative volatility model
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Efficient estimation in semiparametric GARCH models
Cited in
(16)- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- Estimation of SEM with GARCH errors
- Feasible generalized least squares estimation of multivariate GARCH(1,1) models
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
- Sequential estimation of shape parameters in multivariate dynamic models
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Spline estimation of a semiparametric GARCH model
- Semiparametric multivariate volatility models
- On the parametrization of multivariate GARCH models
- Statistical inference for multivariate residual copula of GARCH models
- Multivariate GARCH Models
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- Semiparametric inference in a GARCH-in-mean model
- Estimating VAR-MGARCH models in multiple steps
This page was built for publication: Semiparametric multivariate GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368858)