Estimating Multivariate Volatility Models Equation by Equation

DOI10.1111/rssb.12126zbMath1414.62362OpenAlexW2193043149MaRDI QIDQ5378149

Jean-Michel Zakoian, Christian Francq

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/rssb.12126

zbMATH Keywords

dynamic conditional correlationquasi-maximum-likelihood estimationconstant conditional correlationmultivariate generalized auto-regressive conditional heteroscedasticity specification testing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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