Identification of structural multivariate GARCH models

DOI10.1016/j.jeconom.2020.07.019OpenAlexW2889469153MaRDI QIDQ2116335

Helmut Herwartz, Simone Maxand, Christian M. Hafner

Publication date: 16 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.019

zbMATH Keywords

MGARCHportfolio riskidentifying assumptionsstructural innovationsvolatility transmission

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Asymmetric volatility impulse response functions ⋮ Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations

Cites Work

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• Asymptotic theory for multivariate GARCH processes.
• SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Structural Vector Autoregressive Analysis

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