Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

DOI10.1007/s10260-007-0066-4zbMath1184.62157OpenAlexW2004709621MaRDI QIDQ1039975

Giuseppe Storti

Publication date: 23 November 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-007-0066-4

zbMATH Keywords

asymmetryEM algorithmmultivariate GARCHconditional correlationfutures hedgingrobust conditional moment tests

Mathematics Subject Classification ID

Uses Software

• MBL

Cites Work

• Unnamed Item
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• BL-GARCH models and asymmetries in volatility
• On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Likelihood stabilization for ill-conditioned vector GARCH models
• A multivariate FGD technique to improve VaR computation in equity markets
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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