Portfolio single index (PSI) multivariate conditional and stochastic volatility models
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Publication:929684
DOI10.1016/j.matcom.2008.01.014zbMath1151.91475OpenAlexW2044539822MaRDI QIDQ929684
Michael McAleer, Manabu Asai, Bernardo de Veiga
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.2008.01.014
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Cites Work
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stationarity and the existence of moments of a family of GARCH processes.
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Temporal Aggregation of Garch Processes
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Multivariate Stochastic Variance Models
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Multivariate Stochastic Volatility: A Review
- Asymmetric Multivariate Stochastic Volatility
- Dynamic Asymmetric Leverage in Stochastic Volatility Models
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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