The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parameterization exhibited by the problem, usually referred to as the "curse of dimensionality." For the VEC family, the number of parameters involved in the model grows as a polynomial of...

The use of the Kalman filter for estimation purposes is not always an easy task despite the obvious advantages in many situations of the state-space representation. This is in part due to the fact that the computation of the corresponding score (gradient of the log-likelihood) is sometimes...

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta...

This paper provides implementation details and application examples of the asymptotic error evaluation formulas introduced in the reference [GO14a] concerning three different approaches to the forecasting of linear temporal aggregates using estimated linear processes. The first two techniques...