Hafner, C.M.; Rombouts, J.V.K. - Erasmus University Rotterdam, Econometric Institute - 2004
Estimation of temporally aggregated
multivariate GARCH models
Christian M. Hafner1 Jeroen V.K. Rombouts2
Econometric …
the results.
Keywords: Multivariate GARCH, temporal aggregation, weak GARCH
JEL Classification: C14, C22.
1Econometric … the multivariate case. Thus,
estimation of temporally aggregated (univariate or multivariate) GARCH models by QML
is in …