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Asymptotic theory for a factor GARCH model
Hafner, Christian M.; Preminger, Arie - In: Econometric theory 25 (2009) 2, pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
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Multivariate autoregression of order one with infinite variance innovations
Zarepour, Mahmoud; Roknossadati, S. M. - In: Econometric theory 24 (2008) 3, pp. 677-695
Persistent link: https://www.econbiz.de/10003894283
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Semiparametric multivarite volatility models
Hafner, Christian M.; Rombouts, Jeroen V. K. - In: Econometric theory 23 (2007) 2, pp. 251-280
Persistent link: https://www.econbiz.de/10003429716
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Multivariate ecogarch processes
Haug, Stephan; Stelzer, Robert - In: Econometric theory 27 (2011) 2, pp. 344-371
Persistent link: https://www.econbiz.de/10009310772
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QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 28 (2012) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
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On the relation between the vec and BEKK multivariate GARCH models
Stelzer, Robert - In: Econometric theory 24 (2008) 4, pp. 1131-1136
Persistent link: https://www.econbiz.de/10003736871
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The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion
Kapetanios, George - In: Econometric theory 20 (2004) 4, pp. 735-742
Persistent link: https://www.econbiz.de/10002163092
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Bivariate ARCH models : finite-sample properties of QML estimators and an application to an LM-type test
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric theory 21 (2005) 6, pp. 1058-1086
Persistent link: https://www.econbiz.de/10003193549
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A Monte Carlo study on the selection of cointegrating rank using information criteria
Wang, Zijun; Bessler, David A. - In: Econometric theory 21 (2005) 3, pp. 593-620
Persistent link: https://www.econbiz.de/10002794775
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Multivariate AR systems and mixed frequency data : G-identifiability and estimation
Anderson, Brian D. O.; Deistler, Manfred; Felsenstein, … - In: Econometric theory 32 (2016) 4, pp. 793-826
Persistent link: https://www.econbiz.de/10011644205