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Analytical quasi maximum likelihood inference in multivariate volatility models

Listed author(s):
  • Christian Hafner

    ()

  • Helmut Herwartz

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s00184-007-0130-y
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Article provided by Springer in its journal Metrika.

Volume (Year): 67 (2008)
Issue (Month): 2 (March)
Pages: 219-239

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Handle: RePEc:spr:metrik:v:67:y:2008:i:2:p:219-239
DOI: 10.1007/s00184-007-0130-y
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/statistics/journal/184/PS2

References listed on IDEAS
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  1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  2. Riccardo LUCCHETTI, 1999. "Analytic Score for Multivariate GARCH Models," Working Papers 119, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  3. Hafner, Christian M. & Herwartz, Helmut, 1998. "Testing for linear autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers 1999,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, "undated". "Multivariate GARCH models: a survey," CORE Discussion Papers RP 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April.
  6. Comte, F. & Lieberman, O., 2003. "Asymptotic theory for multivariate GARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 61-84, January.
  7. Herwartz, Helmut & Neumann, Michael H., 2005. "Bootstrap inference in systems of single equation error correction models," Journal of Econometrics, Elsevier, vol. 128(1), pages 165-193, September.
  8. 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.
  9. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
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