ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS

DOI10.1017/S026646660707020XzbMath1274.62618OpenAlexW2111481103MaRDI QIDQ2886953

Wolfgang Scherrer, Eva Ribarits

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660707020x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION ⋮ A scalar dynamic conditional correlation model: structure and estimation ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Semidefinite Programming

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