Pages that link to "Item:Q842922"

The following pages link to On asymptotic theory for multivariate GARCH models (Q842922):

Displaying 50 items.

• Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
• A closed-form estimator for the multivariate GARCH(1,1) model (Q391807) (← links)
• On nonergodicity for nonparametric autoregressive models (Q681119) (← links)
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124) (← links)
• Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
• Model identification using the efficient determination criterion (Q739604) (← links)
• The asymptotic convexity of the negative likelihood function of GARCH models (Q959162) (← links)
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
• Testing for nonlinearity in conditional covariances (Q1695687) (← links)
• Emerging markets in the global economic network: real(ly) decoupling? (Q1782571) (← links)
• Asymptotic theory for multivariate GARCH processes. (Q1867194) (← links)
• A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
• Feasible generalized least squares estimation of multivariate GARCH(1,1) models (Q2015062) (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
• Identification of structural multivariate GARCH models (Q2116335) (← links)
• Maximum likelihood estimation for score-driven models (Q2116342) (← links)
• Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
• Multivariate rotated ARCH models (Q2512636) (← links)
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (Q2658800) (← links)
• Asymmetric volatility impulse response functions (Q2681836) (← links)
• Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity (Q2691763) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• Targeting estimation of CCC-GARCH models with infinite fourth moments (Q2801995) (← links)
• On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models (Q2845022) (← links)
• On the parametrization of multivariate GARCH models (Q2886953) (← links)
• Sequentiel testing for the stability of high-frequency portfolio betas (Q2909249) (← links)
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS (Q3632429) (← links)
• (Q4217813) (← links)
• Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416) (← links)
• Network GARCH Model (Q4986327) (← links)
• (Q4986371) (← links)
• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
• Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254) (← 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)
• Multivariate variance targeting in the BEKK-GARCH model (Q5093221) (← links)
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations (Q5095824) (← links)
• Two‐Step Estimation for Time Varying Arch Models (Q5121011) (← links)
• On testing for causality in variance between two multivariate time series (Q5218935) (← links)
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (Q5245468) (← links)
• Proximity-Structured Multivariate Volatility Models (Q5863553) (← links)
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (Q6086165) (← links)
• Dynamic conditional eigenvalue GARCH (Q6090564) (← links)
• Dynamic factor copula models with estimated cluster assignments (Q6090586) (← links)
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables (Q6097545) (← links)
• Testing the martingale difference hypothesis in high dimension (Q6108287) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)