Pages that link to "Item:Q5378149"

The following pages link to Estimating Multivariate Volatility Models Equation by Equation (Q5378149):

Displaying 23 items.

• Modeling, simulation and inference for multivariate time series of counts using trawl processes (Q129557) (← links)
• Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
• Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
• Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
• Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
• A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329) (← links)
• Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
• An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397) (← links)
• Multivariate rotated ARCH models (Q2512636) (← links)
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• (Q3307800) (← links)
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
• A frequency domain bootstrap for general multivariate stationary processes (Q6160981) (← links)
• A residual bootstrap for conditional value-at-risk (Q6193032) (← links)
• Goodness‐of‐fit tests for the multivariate Student‐<i>t</i> distribution based on i.i.d. data, and for GARCH observations (Q6194056) (← links)
• Dynamic partial correlation models (Q6554221) (← links)
• Sequential detection of parameter changes in dynamic conditional correlation models (Q6579557) (← links)
• Fitting Vast Dimensional Time-Varying Covariance Models (Q6617786) (← links)