Pages that link to "Item:Q1867194"

The following pages link to Asymptotic theory for multivariate GARCH processes. (Q1867194):

Displaying 50 items.

• Analytical quasi maximum likelihood inference in multivariate volatility models (Q61439) (← links)
• A component model for dynamic correlations (Q128853) (← links)
• A closed-form estimator for the multivariate GARCH(1,1) model (Q391807) (← links)
• Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
• Normality test for multivariate conditional heteroskedastic dynamic regression models (Q533940) (← links)
• Wavelet-based multi-resolution GARCH model for financial spillover effects (Q554615) (← links)
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
• Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
• Method of moments estimation of GO-GARCH models (Q737949) (← links)
• Model identification using the efficient determination criterion (Q739604) (← links)
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
• On asymptotic theory for multivariate GARCH models (Q842922) (← links)
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
• A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339) (← links)
• Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
• Testing for nonlinearity in conditional covariances (Q1695687) (← links)
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
• Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
• Emerging markets in the global economic network: real(ly) decoupling? (Q1782571) (← links)
• Evaluating GARCH models. (Q1858977) (← links)
• A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models (Q2015062) (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
• Identification of structural multivariate GARCH models (Q2116335) (← links)
• Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function (Q2273163) (← links)
• Robust M-estimation of multivariate GARCH models (Q2445701) (← links)
• Multivariate stochastic volatility with Bayesian dynamic linear models (Q2474386) (← links)
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
• Multivariate rotated ARCH models (Q2512636) (← links)
• Bivariate option pricing using dynamic copula models (Q2567092) (← links)
• Sequential conditional correlations: inference and evaluation (Q2630121) (← links)
• A Student-\(t\) full factor multivariate GARCH model (Q2655303) (← links)
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
• Asymmetric volatility impulse response functions (Q2681836) (← links)
• Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity (Q2691763) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
• SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS (Q2886942) (← links)
• HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS (Q2886979) (← links)
• Size Distortion in the Analysis of Volatility and Covolatility Effects (Q2950560) (← links)
• Influence diagnostics for multivariate GARCH processes (Q3103184) (← links)
• Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation (Q3168912) (← links)
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346) (← links)