Multivariate volatility in environmental finance

DOI10.1016/J.MATCOM.2008.01.038zbMath1151.91688OpenAlexW1973967881MaRDI QIDQ929681

Suhejla Hoti, Laurent L. Pauwels, Michael McAleer

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.038

zbMATH Keywords

spilloversfinancial riskshockssocially responsible investmentenvironmental risk

Mathematics Subject Classification ID

Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On a multivariate conditional heteroscedastic model
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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