Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
From MaRDI portal
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)
Recommendations
Cites work
- An econometric analysis of asymmetric volatility: theory and application to patents
- Asymptotic theory for multivariate GARCH processes.
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- Multivariate Stochastic Volatility: A Review
- Multivariate Stochastic Volatility: An Overview
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
- On a multivariate conditional heteroscedastic model
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Realized Volatility and Long Memory: An Overview
- Realized Volatility: A Review
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity of GARCH processes and of some nonnegative time series
- Vector linear time series models
Cited in
(29)- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
- Testing for nonlinearity in conditional covariances
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- A scalar dynamic conditional correlation model: structure and estimation
- Asymmetric vector moving average models: estimation and testing
- Estimation of multivariate asymmetric power GARCH models
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- Multivariate leverage effects and realized semicovariance GARCH models
- Currency hedging strategies using dynamic multivariate GARCH
- Volatility spillovers from the Chinese stock market to economic neighbours
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- QML estimation of a class of multivariate asymmetric GARCH models
- A multivariate threshold GARCH model
- Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach
- Volatility estimation of multivariate ARMA-GARCH model
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Vector moving average models: a review
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models
- Testing for nonlinearity in mean and volatility for heteroskedastic models
- Asymmetric multivariate normal mixture GARCH
This page was built for publication: Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3394105)
