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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution

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  • Kristensen, Dennis
  • Linton, Oliver

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  • Kristensen, Dennis & Linton, Oliver, 2004. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution," Econometric Theory, Cambridge University Press, vol. 20(05), pages 990-993, October.
  • Handle: RePEc:cup:etheor:v:20:y:2004:i:05:p:990-993_22
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    Cited by:

    1. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
    2. repec:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642 is not listed on IDEAS
    3. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 353-382.
    4. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
    5. Stanislav Anatolyev & Stanislav Khrapov, 2015. "Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 1-23, August.
    6. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-24, April.
    7. repec:eee:intfor:v:34:y:2018:i:1:p:45-63 is not listed on IDEAS
    8. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
    9. Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
    10. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.

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