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On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models

Fiorentini, Gabriele (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003572666

An EM algorithm for conditionally heteroskedastic factor models

Dēmos, Antōnēs A.; Sentana, Enrique - 1996

Persistent link: https://www.econbiz.de/10000948473

The score of conditionally heteroskedastic dynamic regression models with student t innovations, and an LM test for multivariate normality

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - 2000

Persistent link: https://www.econbiz.de/10001525130

The relation between conditionally heteroskedastic factor models and factor GARCH models

Sentana, Enrique - In: The econometrics journal 1 (1998) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10001443694

The likehood function of conditionally heteroskedastic factor models

Sentana, Enrique - In: Annales d'économie et de statistique (2000), pp. 1-19

Persistent link: https://www.econbiz.de/10001536202

Maximum likelihood estimation and inference in multivariate conditionally heteroscedastic dynamic regression models with student t innovations

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 532-546

Persistent link: https://www.econbiz.de/10001807009

Indirect estimation of conditionally heteroskedastic factor models

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - 2004

Persistent link: https://www.econbiz.de/10002506337

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of econometrics 146 (2008) 1, pp. 10-25

Persistent link: https://www.econbiz.de/10003778191

The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an Lm Test for Multivariate Normality

Sentana, Enrique; Fiorentini, Gabriele; Calzolari, Giorgio - 2001

We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for multivariate normality versus multivariate t based on the first...

Persistent link: https://www.econbiz.de/10014138395

Marginalization and contemporaneous aggregation in multivariate GARCH processes

Nijman, Theodore E.; Sentana, Enrique - 1993

Persistent link: https://www.econbiz.de/10000854586

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