The following pages link to Multivariate GARCH Models (Q3646955):
Displaying 50 items.
- Parameters measuring bank risk and their estimation (Q322446) (← links)
- Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
- On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
- Method of moments estimation of GO-GARCH models (Q737949) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
- Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
- Discussion of ``Nonparametric Bayesian inference in applications'': Bayesian nonparametric methods in econometrics (Q1663604) (← links)
- Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377) (← links)
- Testing for nonlinearity in conditional covariances (Q1695687) (← links)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
- The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia (Q1757620) (← links)
- Emerging markets in the global economic network: real(ly) decoupling? (Q1782571) (← links)
- Estimation of SEM with GARCH errors (Q1927102) (← links)
- On the estimation of dynamic conditional correlation models (Q1927134) (← links)
- The ARMA alphabet soup: a tour of ARMA model variants (Q1950327) (← links)
- A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support (Q1991935) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- Bayesian semiparametric multivariate GARCH modeling (Q2442573) (← links)
- Identifying financial time series with similar dynamic conditional correlation (Q2445570) (← links)
- Multivariate rotated ARCH models (Q2512636) (← links)
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
- A FUNCTIONAL VERSION OF THE ARCH MODEL (Q2847583) (← links)
- Functional Generalized Autoregressive Conditional Heteroskedasticity (Q2954300) (← links)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
- ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS (Q4569584) (← links)
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS (Q4913924) (← links)
- Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416) (← links)
- (Q4986371) (← links)
- A stochastic recurrence equations approach for score driven correlation models (Q5034245) (← links)
- Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (Q5080532) (← links)
- Portfolio Optimization under Solvency Constraints: A Dynamical Approach (Q5379126) (← links)
- Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models (Q5742633) (← links)
- The statistical properties of the innovations in multivariate ARCH processes in high dimensions (Q5746740) (← links)
- Testing for correlation between two time series using a parametric bootstrap (Q5861478) (← links)
- Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487) (← links)
- Proximity-Structured Multivariate Volatility Models (Q5863553) (← links)
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639) (← links)
