Analytical quasi maximum likelihood inference in multivariate volatility models

DOI10.1007/s00184-007-0130-yzbMath1433.62259OpenAlexW2143832469MaRDI QIDQ61439

Helmut Herwartz, Christian M. Hafner, Christian M. Hafner, Helmut Herwartz

Publication date: 16 March 2007

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://repub.eur.nl/pub/1721/feweco20030806160716.pdf

zbMATH Keywords

quasi maximum likelihoodmultivariate GARCH models

Mathematics Subject Classification ID

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

Related Items (13)

Multivariate GARCH estimation via a Bregman-proximal trust-region method ⋮ Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ A Student-\(t\) full factor multivariate GARCH model ⋮ Estimation of SEM with GARCH errors ⋮ Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting ⋮ Quasi-optimal Bayesian procedures of many hypotheses testing ⋮ BEKKs ⋮ Feasible generalized least squares estimation of multivariate GARCH(1,1) models ⋮ Influence diagnostics for multivariate GARCH processes ⋮ Modelling asymmetric volatility dynamics by multivariate BL-GARCH models ⋮ Unrestricted maximum likelihood estimation of multivariate realized volatility models ⋮ Robust parametric tests of constant conditional correlation in a MGARCH model ⋮ Whittle estimation in multivariate CCC-GARCH processes

Uses Software

• JMulTi

Cites Work

• Bootstrap inference in systems of single equation error correction models
• Analytical score for multivariate GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Testing for linear autoregressive dynamics under heteroskedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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