Feasible generalized least squares estimation of multivariate GARCH(1,1) models

DOI10.1016/j.jmva.2014.04.015zbMath1359.62379OpenAlexW2053300876MaRDI QIDQ2015062

Giacomo Sbrana, Federico Poloni

Publication date: 18 June 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.015

zbMATH Keywords

maximum likelihoodfeasible generalized least squaresmultivariate GARCH(1,1)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• MFE toolbox

Cites Work

• Unnamed Item
• Analytical quasi maximum likelihood inference in multivariate volatility models
• A closed-form estimator for the multivariate GARCH(1,1) model
• On asymptotic theory for multivariate GARCH models
• Multivariate GARCH estimation via a Bregman-proximal trust-region method
• Asymptotic theory for multivariate GARCH processes.
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Markov Chains and Stochastic Stability
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

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