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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - In: VAR models in macroeconomics - new developments and …, (pp. 273-326). 2013
Persistent link: https://www.econbiz.de/10010252324
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Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances
Carstensen, Kai - 1999 - (Rev. version)
Persistent link: https://www.econbiz.de/10001465498
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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A new semiparametric mirrored historical simulation value-at-risk model
Radivojević, Nikola; Filipović, Luka; Brzaković, … - In: Romanian journal of economic forecasting 23 (2020) 1, pp. 5-21
Persistent link: https://www.econbiz.de/10012421878
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Multivariate GARCH models
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Handbook of financial time series, (pp. 201-229). 2009
Persistent link: https://www.econbiz.de/10003833947
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Bayesian inference methods for univariate and multivariate Garch models : a survey
Virbickaite, Audrone; Ausin, M. Concepción; Galeano, Pedro - In: Journal of economic surveys 29 (2015) 1, pp. 76-96
Persistent link: https://www.econbiz.de/10011381831
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - 2016
Persistent link: https://www.econbiz.de/10011541411
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Dynamic Factor Multivariate GARCH Model
A. P. Santos, Andre - 2012
Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH speci cation with a flexible modeling strategy for the common factors, for the...
Persistent link: https://www.econbiz.de/10013103695
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Multivariate GARCH Estimation via a Bregman-Proximal Trust-Region Method
Chrétien, Stéphane - 2014
The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive … general formulation of the estimation problem in any dimension and a Bregman-proximal trust-region method for its solution is …
Persistent link: https://www.econbiz.de/10013065259