Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
type: Item
instance of: scholarly article
title: Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
zbMATH Open document ID: 1176.91128
author: Iris W. H. Yip
author: Mike K. P. So
published in: Mathematics and Computers in Simulation
publication date: 2009-11-16T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5633808
zbMATH Keywords: dynamic correlation
zbMATH Keywords: finance
zbMATH Keywords: multivariate GARCH models
zbMATH Keywords: volatility
MaRDI profile type: Publication
full work available at URL: j.matcom.2009.07.001
OpenAlex ID: W2067862850
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Variance (Non) Causality in Multivariate GARCH
cites work: Marginal Likelihood from the Gibbs Output
cites work: Marginal Likelihood From the Metropolis–Hastings Output
cites work: Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
cites work: ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
cites work: A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
cites work: A Multivariate Threshold Varying Conditional Correlations Model
cites work: GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
cites work: Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
cites work: Regime switching for dynamic correlations
cites work: ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
cites work: Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
cites work: A full-factor multivariate GARCH model
DOI: 10.1016/J.MATCOM.2009.07.001
Recommended article: Q4807891
Recommended article: Generalized autoregressive conditional heteroscedasticity
Recommended article: Reprint of: Generalized autoregressive conditional heteroskedasticity
Recommended article: Heteroscedastic modelling via the autoregressive conditional variance subspace
Recommended article: Q4290503
Recommended article: Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
description: scientific article; zbMATH DE number 5633808