Semiparametric multivariate volatility models
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Cites work
- A note on adaptation in garch models
- A simplified approach to computing efficiency bounds in semiparametric models
- Adaptive estimation in time series regression models
- Adaptive estimation in time-series models
- Asymptotic theory for multivariate GARCH processes.
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Efficient estimation in semiparametric GARCH models
- Multi-Factor Experimental Designs for Exploring Response Surfaces
- Necessary conditions for the CAPM
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- Probability density function estimation using gamma kernels
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Semiparametric efficiency bounds
Cited in
(26)- Proximity-structured multivariate volatility models
- Bayesian semiparametric multivariate GARCH modeling
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- Semiparametric multivariate GARCH models
- Consistent pseudo-maximum likelihood estimators and groups of transformations
- On the efficiency of a semi-parametric GARCH model
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Estimating multivariate volatility models equation by equation
- Improved estimation of dynamic models of conditional means and variances
- Center-Outward R-Estimation for Semiparametric VARMA Models
- scientific article; zbMATH DE number 7234889 (Why is no real title available?)
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
- Semi- and nonparametric ARCH processes
- On asymptotic theory for multivariate GARCH models
- New testing approaches for mean-variance predictability
- Identification of structural multivariate GARCH models
- Semiparametric efficiency bounds in dynamic non‐linear systems under elliptical symmetry
- A semiparametric stochastic volatility model
- Semiparametric score driven volatility models
- Consistent non-Gaussian pseudo maximum likelihood estimators
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Semi-parametric modelling of correlation dynamics
- Tests for conditional ellipticity in multivariate GARCH models
- Adaptive estimation in multiple time series with independent component errors
- Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class
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