On asymptotic theory for multivariate GARCH models

Christian Hafner, Arie Preminger

Type: Article

Publication Date: 2009-04-01

Citations: 112

DOI: https://doi.org/10.1016/j.jmva.2009.03.011

View Publication

Locations

Journal of Multivariate Analysis - View

Similar Works

Action	Title	Year	Authors
+	On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models	2012	Marco Avarucci Eric Beutner Paolo Zaffaroni
+	Asymptotic Theory for a Factor GARCH Model	2006	Christian Hafner Arie Preminger
+ PDF Chat	Asymptotic theory for multivariate GARCH processes	2003	Fabienne Comte Offer Lieberman
+	ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL	2009	Christian Hafner Arie Preminger
+	Asymptotic Theory for a Vector ARMA-GARCH Model	2001	Shiqing Ling Michael McAleer
+	On the tail behavior of a class of multivariate conditionally heteroskedastic processes	2017	Rasmus Hundsbæk Pedersen Olivier Wintenberger
+ PDF Chat	On the Tail Behavior of a Class of Multivariate Conditionally Heteroskedastic Processes	2017	Rasmus Hundsbæk Pedersen Olivier Wintenberger
+ PDF Chat	Multivariate Variance Targeting in the BEKK-GARCH Model	2012	Rasmus Søndergaard Pedersen Anders Rahbek
+	Multivariate Variance Targeting in the BEKK-GARCH Model	2012	Rasmus Søndergaard Pedersen Anders Rahbek
+	Asymptotic Theory for Multivariate GARCH Processes	2001	Fabienne Comte Offer Lieberman
+	ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS	2007	Wolfgang Scherrer Eva Ribarits
+	Stationarity and geometric ergodicity of BEKK multivariate GARCH models	2011	Farid Boussama Florian Fuchs Robert Stelzer
+	Multivariate GARCH	2010	Ngai Hang Chan
+	An Alternative GARCH-in-Mean Model: Structure and Estimation	2013	Xingfa Zhang Heung Wong Yuan Li Wai-Cheung Ip
+	On Asymptotic Properties of the QML Estimator for GARCH Models	2013	Maddalena Cavicchioli
+	Multivariate Threshold GARCH Model	2012	Jingyao Zhang
+	Multivariate GARCH models: a survey	2003	Luc Bauwens Sébastien Laurent Jeroen V.K. Rombouts
+	Asymptotic Theory for GARCH-in-mean Models	2013	Weiwei Liu
+	ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS	2003	I. Berkès Lajos Horváth Piotr Kokoszka
+ PDF Chat	A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing	2010	Yixiao Sun David M. Kaplan

Works That Cite This (43)

Action	Title	Year	Authors
+ PDF Chat	Optimal covariance matrix estimation for high-dimensional noise in high-frequency data	2022	Jinyuan Chang Hu Qiao Cheng Liu Cheng Yong Tang
+ PDF Chat	Multivariate variance targeting in the BEKK-GARCH model	2013	Rasmus S. Pedersen Anders Rahbek
+	Parameter Changes in Time Series Models	2023	Lajos Horváth Gregory Rice
+	Asymptotic properties of recursive kernel density estimation for long-span high-frequency data	2024	Dan Liang Shanchao Yang
+	Sparse Multivariate ARCH Models: Finite Sample Properties	2018	Benjamin Poignard
+	Testing the martingale difference hypothesis in high dimension	2022	Jinyuan Chang Qingwu Jiang Xiaofeng Shao
+	Estimação de ordem em modelos AR, ARCH e BEKK-GARCH usando o critério EDC	2014	Paulo Angelo Alves Resende
+	Penalized Likelihood Estimation in High-Dimensional Time Series Models and its Application	2015	Yoshimasa Uematsu
+ PDF Chat	On nonergodicity for nonparametric autoregressive models	2013	Mingtian Tang Yunyan Wang
+ PDF Chat	A robust score-driven filter for multivariate time series	2023	Enzo D’Innocenzo Alessandra Luati Mario Mazzocchi

Works Cited by This (15)

Action	Title	Year	Authors
+	Inference in GARCH when some coefficients are equal to zero	2006	Christian Francq Jean-Michel ZakoÃ ̄an
+ PDF Chat	Asymptotic theory for multivariate GARCH processes	2003	Fabienne Comte Offer Lieberman
+	ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL	2009	Christian Hafner Arie Preminger
+	Stationarity and Persistence in the GARCH(1,1) Model	1990	Daniel B. Nelson
+ PDF Chat	Strict Stationarity of Generalized Autoregressive Processes	1992	Philippe Bougerol Nico Picard
+	GO‐GARCH: a multivariate generalized orthogonal GARCH model	2002	Roy van der Weide
+	STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS	1998	Thierry Jeantheau
+ PDF Chat	Testing When a Parameter is on the Boundary of the Maintained Hypothesis	2001	Donald W. K. Andrews
+ PDF Chat	ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS	2008	Mika Meitz Pentti Saikkonen
+	QUASI-LIKELIHOOD INFERENCE IN GARCH PROCESSES WHEN SOME COEFFICIENTS ARE EQUAL TO ZERO	2006	Christian Francq Jean-Michel Zakoı̈an