Method of moments estimation of GO-GARCH models

DOI10.1016/j.jeconom.2010.11.011zbMath1441.62614OpenAlexW2165668117MaRDI QIDQ737949

H. Peter Boswijk, Roy van der Weide

Publication date: 12 August 2016

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

Full work available at URL: https://pure.uva.nl/ws/files/921155/145015_312777.pdf

zbMATH Keywords

method of momentsfactor modelscommon principal componentsmultivariate GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models ⋮ Ai algorithms for fitting GARCH parameters to empirical financial data ⋮ Weighted scatter estimation method of the GO-GARCH models ⋮ Bayesian inference of multivariate rotated GARCH models with skew returns ⋮ Dynamic conditional eigenvalue GARCH ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas ⋮ Multivariate rotated ARCH models ⋮ Independent Factor Autoregressive Conditional Density Model

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Temporal aggregation of multivariate GARCH processes
• Properties of moments of a family of GARCH processes
• Asymptotic theory for multivariate GARCH processes.
• ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Multivariate GARCH Models
• A full-factor multivariate GARCH model
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Factor Stochastic Volatility in Mean Models: A GMM Approach
• Identification, estimation and testing of conditionally heteroskedastic factor models

This page was built for publication: Method of moments estimation of GO-GARCH models