Analytical quasi maximum likelihood inference in multivariate volatility models
Year of publication: |
2008
|
---|---|
Authors: | Hafner, Christian ; Herwartz, Helmut |
Published in: |
Metrika. - Springer. - Vol. 67.2008, 2, p. 219-239
|
Publisher: |
Springer |
Subject: | Multivariate GARCH models | Quasi maximum likelihood |
-
Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, Christian Matthias, (2003)
-
Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, C.M., (2003)
-
A quasi maximum likelihood approach for large approximate dynamic factor models
Doz, Catherine, (2006)
- More ...
-
Volatility impulse responses for multivariate GARCH models : an exchange rate illustration
Hafner, Christian M., (2006)
-
A Lagrange multiplier test for causality in variance
Hafner, Christian M., (2006)
-
Testing for causality in variance using multivariate GARCH models
Hafner, Christian M., (2008)
- More ...