Multivariate GARCH models: a survey
Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Recent theoretical results for time series models with GARCH errors
This paper provides a review of some recent theoretical results for time series models with
GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model …
GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model …
[图书][B] Multivariate time series analysis: with R and financial applications
RS Tsay - 2013 - books.google.com
An accessible guide to the multivariate time series tools used in numerous real-world
applications Multivariate Time Series Analysis: With R and Financial Applications is the …
applications Multivariate Time Series Analysis: With R and Financial Applications is the …
[图书][B] GARCH models: structure, statistical inference and financial applications
C Francq, JM Zakoian - 2019 - books.google.com
Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …
finance, covering new developments in the discipline This book provides a comprehensive …
New weighted portmanteau statistics for time series goodness of fit testing
TJ Fisher, CM Gallagher - Journal of the American Statistical …, 2012 - Taylor & Francis
We exploit ideas from high-dimensional data analysis to derive new portmanteau tests that
are based on the trace of the square of the m th order autocorrelation matrix. The resulting …
are based on the trace of the square of the m th order autocorrelation matrix. The resulting …
GO‐GARCH: a multivariate generalized orthogonal GARCH model
R Van der Weide - Journal of Applied Econometrics, 2002 - Wiley Online Library
Multivariate GARCH specifications are typically determined by means of practical
considerations such as the ease of estimation, which often results in a serious loss of …
considerations such as the ease of estimation, which often results in a serious loss of …
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
The time-varying correlation between oil prices returns and European industrial sector
indices returns, considering the origin of the oil price shock, is investigated. A time-varying …
indices returns, considering the origin of the oil price shock, is investigated. A time-varying …
[图书][B] Diagnostic checks in time series
WK Li - 2003 - taylorfrancis.com
Diagnostic checking is an important step in the modeling process. But while the literature on
diagnostic checks is quite extensive and many texts on time series modeling are available, it …
diagnostic checks is quite extensive and many texts on time series modeling are available, it …
[图书][B] ARCH models for financial applications
E Xekalaki, S Degiannakis - 2010 - books.google.com
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …
model asset price volatility over time. This book introduces both the theory and applications …
Modeling and forecasting the volatility of petroleum futures prices
We investigate volatility models and their forecasting abilities for three types of petroleum
futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate …
futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate …