Marginalization and contemporaneous aggregation in multivariate GARCH processes

DOI10.1016/0304-4076(94)01695-XzbMath0843.62104OpenAlexW3125110852MaRDI QIDQ1915440

Enrique Sentana, Theo E. Nijman

Publication date: 15 July 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01695-x

zbMATH Keywords

variance parameterskurtosis parameterscontemporaneous aggregation of independent univariate GARCH processesmarginal processesmultivariate GARCH processesweak GARCH process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (17)

Aggregation and memory of models of changing volatility ⋮ Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ Asymmetry in tail dependence in equity portfolios ⋮ A suggestion for constructing a large time-varying conditional covariance matrix ⋮ Fractionally integrated generalized autoregressive conditional heteroskedasticity ⋮ Closing the GARCH gap: Continuous time GARCH modeling ⋮ On the univariate representation of BEKK models with common factors ⋮ Temporal aggregation of volatility models ⋮ Portfolio single index (PSI) multivariate conditional and stochastic volatility models ⋮ Aggregation and marginalization of GARCH processes: some further results ⋮ Causality and forecasting in temporally aggregated multivariate GARCH processes ⋮ Contemporaneous asymmetry in GARCH processes ⋮ Contemporaneous aggregation of GARCH processes ⋮ Identification, estimation and testing of conditionally heteroskedastic factor models ⋮ Factor Stochastic Volatility in Mean Models: A GMM Approach ⋮ Stability conditions for heteroscedastic factor models with conditionally autoregressive betas ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Volatility and Links between National Stock Markets
• The relation between conditionally heteroskedastic factor models and factor GARCH models
• Common Persistence in Conditional Variances

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