A closed-form estimator for the multivariate GARCH(1,1) model
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
- Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 26-54.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Kristensen, Dennis & Linton, Oliver, 2006. "A Closed-Form Estimator For The Garch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 22(02), pages 323-337, April.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," CORE Discussion Papers RP 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
- Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February.
- Hafner, Christian M., 2008.
"Temporal aggregation of multivariate GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 142(1), pages 467-483, January.
- Hafner, C.M., 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers EI 2004-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
- Engwerda, J.C. & Ran, A.C.M. & Rijkeboer, A.L., 1993. "Necessary and sufficient conditions for the existence of a positive definite solution of the matrix equation X + A*X-1A = Q," Other publications TiSEM 70617266-94a2-4f19-9d69-e, Tilburg University, School of Economics and Management.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
- repec:eee:intfor:v:34:y:2018:i:1:p:45-63 is not listed on IDEAS
- Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.
- 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.
- Almeida, Daniel De & Hotta, Luiz & Ruiz, Esther, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
More about this item
KeywordsMultivariate GARCH(1; 1); VARMA; Temporal aggregation; Estimation;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:120:y:2013:i:c:p:152-162. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.