Marginalization and contemporaneous aggregation in multivariate GARCH processes
type: Item
instance of: scholarly article
title: Marginalization and contemporaneous aggregation in multivariate GARCH processes
zbMATH Open document ID: 0843.62104
DOI: 10.1016/0304-4076(94)01695-X
author: Enrique Sentana
author: Theo Nijman
published in: Journal of Econometrics
publication date: 1996-07-15T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 889977
zbMATH Keywords: marginal processes
zbMATH Keywords: contemporaneous aggregation of independent univariate GARCH processes
zbMATH Keywords: weak GARCH process
zbMATH Keywords: variance parameters
zbMATH Keywords: kurtosis parameters
zbMATH Keywords: multivariate GARCH processes
MaRDI profile type: Publication
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Common Persistence in Conditional Variances
cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Q3374310
cites work: Temporal Aggregation of Garch Processes
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Volatility and Links between National Stock Markets
cites work: Linear transformations of vector ARMA processes
cites work: Factor representing portfolios in large asset markets
cites work: The relation between conditionally heteroskedastic factor models and factor GARCH models
cites work: Time series analysis and simultaneous equation econometric models
full work available at URL: 0304-4076(94)01695-x
OpenAlex ID: W3125110852
description: scientific article; zbMATH DE number 889977