Weighted scatter estimation method of the GO-GARCH models

DOI10.1111/J.1467-9892.2011.00741.XMaRDI QIDQ2930903zbMATH OpenOpenAlexFDO

Authors Lingyu Zheng, William W. S. Wei

Publication date 20 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00741.x

zbMATH Keywords

extended GARCH modelinfluence functionmultivariate volatility processprincipal component analysissingular value decompositiontime series

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A full-factor multivariate GARCH model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3642533 (Why is no real title available?)
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Method of moments estimation of GO-GARCH models
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• On the uniqueness of \(S\)-functionals and \(M\)-functionals under nonelliptical distributions.
• Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
• Robust m-estimators of multivariate location and scatter
• Robust Statistics
• Sequential conditional correlations: inference and evaluation

Cited in

(1)

• Method of moments estimation of GO-GARCH models

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