Estimation of temporally aggregated multivariate GARCH models

DOI10.1080/10629360600616252zbMath1144.62340OpenAlexW1999826006MaRDI QIDQ5433115

Christian M. Hafner, Jeroen V. K. Rombouts

Publication date: 19 December 2007

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/1480

zbMATH Keywords

tablestemporal aggregationmultivariate GARCHweak GARCH

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Temporal aggregation of multivariate GARCH processes ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ A closed-form estimator for the multivariate GARCH(1,1) model ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

Cites Work

• Temporal aggregation of multivariate GARCH processes
• Asymptotic theory for multivariate GARCH processes.
• Temporal aggregation of volatility models
• ESTIMATING WEAK GARCH REPRESENTATIONS
• Temporal Aggregation of Garch Processes
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models

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