Wake me up before you GO-GARCH
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Other versions of this item:
- Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- H. Peter Boswijk & Roy van der Weide, 2006. "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers 06-079/4, Tinbergen Institute, revised 21 Sep 2006.
References listed on IDEAS
- I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
- Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
- Lanne, Markku & Saikkonen, Pentti, 2007.
"A Multivariate Generalized Orthogonal Factor GARCH Model,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 25, pages 61-75, January.
- Lanne, Markku & Saikkonen, Pentti, 2005. "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper 23714, University Library of Munich, Germany.
- Luc Bauwens & Sébastien Laurent, 2002.
"A New Class of Multivariate skew Densities, with Application to GARCH Models,"
Computing in Economics and Finance 2002
5, Society for Computational Economics.
- BAUWENS, Luc & LAURENT, Sébastien, 2002. "A new class of multivariate skew densities, with application to GARCH models," CORE Discussion Papers 2002020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
- Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
- Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
- Hafner, Christian M. & Linton, Oliver, 2010.
"Efficient estimation of a multivariate multiplicative volatility model,"
Journal of Econometrics,
Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- Płuciennik Piotr, 2012. "Influence of the American Financial Market on Other Markets During the Subprime Crisis," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 12(2), pages 19-30, December.
- Chakraborty, Sandip & Kakani, Ram Kumar, 2016. "Institutional investment, equity volume and volatility spillover: Causalities and asymmetries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 1-20.
- Basher, Syed Abul & Sadorsky, Perry, 2016.
"Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH,"
Elsevier, vol. 54(C), pages 235-247.
- Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
More about this item
Keywordsmultivariate GARCH; BEKK; DCC; GO-GARCH; Three Step Estimation;
- 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
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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