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Estimation of temporally aggregated multivariate GARCH models
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Document type | Article de périodique (Journal article) |
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Publication date | 2007 |
Language | Anglais |
Journal information | "Journal of Statistical Computation and Simulation" - Vol. 77, no. 8, p. 629-650 (Janvier 2007) |
Peer reviewed | yes |
Publisher | Taylor & Francis Ltd. (Abingdon, United Kingdom) |
issn | 0094-9655 |
Publication status | Publié |
Affiliations |
UCL
- EUEN/CORE - Center for operations research and econometrics HEC Montréal, Canada - Institut d'Economie Appliquée |
Keywords | Multivariate GARCH ; Temporal aggregation ; Weak GARCH |
Links |
- Bollerslev Tim, Wooldridge Jeffrey M., Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, 10.1080/07474939208800229
- Drost Feike C., Nijman Theo E., Temporal Aggregation of Garch Processes, 10.2307/2951767
- Hafner, C. 2004. “Temporal aggregation of multivariate GARCH processes”. Erasmus University Rotterdam. Econometric Institute Report 29
- Meddahi Nour, Renault Eric, Temporal aggregation of volatility models, 10.1016/s0304-4076(03)00200-8
- Francq Christian, Zakoïan Jean-Michel, ESTIMATING WEAK GARCH REPRESENTATIONS, 10.1017/s0266466600165041
- Andersen Torben G., Bollerslev Tim, Intraday periodicity and volatility persistence in financial markets, 10.1016/s0927-5398(97)00004-2
- Bauwens Luc, Laurent Sébastien, Rombouts Jeroen V. K., Multivariate GARCH models: a survey, 10.1002/jae.842
- Hafner C. M., Fourth Moment Structure of Multivariate GARCH Models, 10.1093/jjfinec/nbg001
- Newey Whitney K., Steigerwald Douglas G., Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models, 10.2307/2171754
- Jeantheau Thierry, STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS, 10.1017/s0266466698141038
- Comte F., Lieberman O., Asymptotic theory for multivariate GARCH processes, 10.1016/s0047-259x(02)00009-x
- Lütkepohl Helmut, Introduction to Multiple Time Series Analysis, ISBN:9783540569404, 10.1007/978-3-642-61695-2
- Engle R., RISK, 9, 36 (1996)
- Hafner C., Econometric Theory (2004)
Bibliographic reference | Hafner, Christian ; Rombouts, Jeroen. Estimation of temporally aggregated multivariate GARCH models. In: Journal of Statistical Computation and Simulation, Vol. 77, no. 8, p. 629-650 (Janvier 2007) |
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Permanent URL | http://hdl.handle.net/2078.1/23581 |