Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
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- Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
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- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
- Guney, Yesim & Arslan, Olcay & Yavuz, Fulya Gokalp, 2022. "Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
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- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Hafner, Christian M. & Reznikova, Olga, 2012.
"On the estimation of dynamic conditional correlation models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
- Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," LIDAM Reprints ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Audrino, Francesco, 2014.
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- Audrino, Francesco, 2011. "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series 1112, University of St. Gallen, School of Economics and Political Science.
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- Fresoli, Diego Eduardo, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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More about this item
Keywords
Multivariate GARCH models; Model uncertainty; Quasi-maximum likelihood; Monte Carlo methods;All these keywords.
JEL classification:
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-01-03 (Econometrics)
- NEP-ETS-2009-01-03 (Econometric Time Series)
- NEP-FOR-2009-01-03 (Forecasting)
- NEP-ORE-2009-01-03 (Operations Research)
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