Estimating multivariate GARCH and stochastic correlation models equation by equation
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsConstant conditional correlation; Dynamic conditional correlation; Markov switching models; Multivariate GARCH; Quasi maximum likelihood estimation;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-03-15 (Econometrics)
- NEP-ETS-2014-03-15 (Econometric Time Series)
- NEP-ORE-2014-03-15 (Operations Research)
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