Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- An econometric analysis of asymmetric volatility: theory and application to patents
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Cited in
(29)- Testing for nonlinearity in mean and volatility for heteroskedastic models
- Volatility estimation of multivariate ARMA-GARCH model
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- Multivariate leverage effects and realized semicovariance GARCH models
- Asymmetric multivariate normal mixture GARCH
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Volatility spillovers from the Chinese stock market to economic neighbours
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- Currency hedging strategies using dynamic multivariate GARCH
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- Asymptotics of Cholesky GARCH models and time-varying conditional betas
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- A scalar dynamic conditional correlation model: structure and estimation
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
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- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
- A multivariate threshold GARCH model
- Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models
- Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- QML estimation of a class of multivariate asymmetric GARCH models
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