Sequential estimation of shape parameters in multivariate dynamic models

DOI10.1016/J.JECONOM.2013.04.010MaRDI QIDQ2453083zbMATH OpenOpenAlexFDO

Authors Dante Amengual, Gabriele Fiorentini, Enrique Sentana

Publication date 6 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://www.cemfi.es/ftp/wp/1201.pdf

zbMATH Keywords

confidence intervalsefficient estimationelliptical distributionsrisk managementsystemic riskglobal systematically important banks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
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• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Measures of multivariate skewness and kurtosis with applications
• Moments of elliptically distributed random variates
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
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• Quadratic ARCH Models
• Quantile regression.
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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• Two Stage and Related Estimators and Their Applications

Cited in

(5)

• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• The moment estimates order promotion of the financial asset returns ``fat tail distribution shape parameter based on second order expansion form
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Sequential shrinkage estimation
• Specification tests for non-Gaussian structural vector autoregressions

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