The following pages link to Multivariate GARCH Models (Q3646955):
Displayed 24 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)
- Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377) (← 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)
- 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 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)
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS (Q4913924) (← links)
- The statistical properties of the innovations in multivariate ARCH processes in high dimensions (Q5746740) (← links)