✦ LIBER ✦

Robust estimation of the simplified multivariate GARCH model

✍ Scribed by Iqbal, Farhat

Book ID: 120518380
Publisher: Springer-Verlag
Year: 2012
Tongue: English
Weight: 285 KB
Volume: 44
Category: Article
ISSN: 0377-7332
DOI: 10.1007/s00181-012-0588-y

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

ROBUST ESTIMATION FOR THE ORTHOGONAL GAR

ROBUST ESTIMATION FOR THE ORTHOGONAL GARCH MODEL

✍ FARHAT IQBAL 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 232 KB

Robust ranking of multivariate GARCH mod

Robust ranking of multivariate GARCH models by problem dimension

✍ Caporin, Massimiliano; McAleer, Michael 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 379 KB

Robust estimation of multivariate regres

Robust estimation of multivariate regression model

✍ Jiantao Li; Min Zheng 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 320 KB

A closed-form estimator for the multivar

A closed-form estimator for the multivariate GARCH model

✍ Sbrana, Giacomo; Poloni, Federico 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 420 KB

Multivariate GARCH models: software choi

Multivariate GARCH models: software choice and estimation issues

✍ Chris Brooks; Simon P. Burke; Gita Persand 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 90 KB

The development of multivariate generalized autoregressive conditionally heteroscedastic (MGARCH) models from the original univariate specifications represented a major step forward in the modelling of time series. MGARCH models permit time-varying conditional covariances as well as variances, and t

QML ESTIMATION OF A CLASS OF MULTIVARIAT

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

✍ Francq, Christian; Zakoïan, Jean-Michel 📂 Article 📅 2011 🏛 Cambridge University Press 🌐 English ⚖ 623 KB