Analytical score for multivariate GARCH models

DOI10.1023/A:1015001204774zbMath1005.91082OpenAlexW2146818833MaRDI QIDQ1611369

Riccardo Lucchetti

Publication date: 21 August 2002

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1015001204774

zbMATH Keywords

maximum likelihood estimationconditional heteroskedasticitymultivariate time series

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (7)

Surveillance of the covariance matrix of multivariate nonlinear time series ⋮ A Student-\(t\) full factor multivariate GARCH model ⋮ Estimation of SEM with GARCH errors ⋮ Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model ⋮ Analytical quasi maximum likelihood inference in multivariate volatility models ⋮ Artificial regression testing in the GARCH‐in‐mean model ⋮ Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

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