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 …
Multivariate GARCH models
A Silvennoinen, T Teräsvirta - Handbook of financial time series, 2009 - Springer
This article contains a review of multivariate GARCH models. Most common GARCH models
are presented and their properties considered. This also includes nonparametric and …
are presented and their properties considered. This also includes nonparametric and …
[HTML][HTML] On asymptotic theory for multivariate GARCH models
CM Hafner, A Preminger - Journal of Multivariate Analysis, 2009 - Elsevier
The paper investigates the asymptotic theory for a multivariate GARCH model in its general
vector specification proposed by Bollerslev, Engle and Wooldridge (1988)[4], known as the …
vector specification proposed by Bollerslev, Engle and Wooldridge (1988)[4], known as the …
Modeling and forecasting multivariate electricity price spikes
We consider the problem of forecasting the occurrence of extreme prices in the Australian
electricity markets from high frequency spot prices. In particular, we are interested in the …
electricity markets from high frequency spot prices. In particular, we are interested in the …
Semiparametric and nonparametric ARCH modeling
OB Linton - Handbook of financial time series, 2009 - Springer
Semiparametric and Nonparametric ARCH Modeling Page 1 Semiparametric and
Nonparametric ARCH Modeling Oliver B. Linton ∗ Abstract This paper surveys nonparametric …
Nonparametric ARCH Modeling Oliver B. Linton ∗ Abstract This paper surveys nonparametric …
Extreme value theory for GARCH processes
We consider the extreme value theory for a stationary GARCH process with iid innovations.
One of the basic ingredients of this theory is the fact that, under general conditions, GARCH …
One of the basic ingredients of this theory is the fact that, under general conditions, GARCH …
Bayesian semiparametric multivariate GARCH modeling
This paper proposes a Bayesian nonparametric modeling approach for the return
distribution in multivariate GARCH models. In contrast to the parametric literature the return …
distribution in multivariate GARCH models. In contrast to the parametric literature the return …
Risk estimation using the multivariate normal inverse Gaussian distribution
K Aas, IH Haff, XK Dimakos - The Journal of Risk, 2005 - search.proquest.com
Appropriate modeling of time-varying dependencies is very important for quantifying
financial risk, such as the risk associated with a portfolio of financial assets. Most of the …
financial risk, such as the risk associated with a portfolio of financial assets. Most of the …
Asymptotic theory for a factor GARCH model
CM Hafner, A Preminger - Econometric Theory, 2009 - cambridge.org
This paper investigates the asymptotic theory for a factor GARCH (generalized
autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic …
autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic …
[HTML][HTML] Identification of structural multivariate GARCH models
The class of multivariate GARCH models is widely used to quantify and monitor volatility and
correlation dynamics of financial time series. While many specifications have been proposed …
correlation dynamics of financial time series. While many specifications have been proposed …