Pages that link to "Item:Q5093221"

The following pages link to Multivariate variance targeting in the BEKK-GARCH model (Q5093221):

Displaying 20 items.

• Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124) (← links)
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting (Q1695658) (← links)
• Testing for nonlinearity in conditional covariances (Q1695687) (← links)
• Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• Mean targeting estimator for the integer-valued GARCH(1, 1) model (Q2306886) (← links)
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• Targeting estimation of CCC-GARCH models with infinite fourth moments (Q2801995) (← links)
• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
• CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH (Q5065457) (← links)
• Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
• Dynamic conditional eigenvalue GARCH (Q6090564) (← links)
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (Q6190695) (← links)
• Dynamic partial correlation models (Q6554221) (← links)
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (Q6608678) (← links)
• Fitting Vast Dimensional Time-Varying Covariance Models (Q6617786) (← links)
• Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models (Q6626310) (← links)