User menu

Estimation of temporally aggregated multivariate GARCH models

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)
Permanent URL http://hdl.handle.net/2078.1/23581
  1. Bollerslev Tim, Wooldridge Jeffrey M., Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, 10.1080/07474939208800229
  2. Drost Feike C., Nijman Theo E., Temporal Aggregation of Garch Processes, 10.2307/2951767
  3. Hafner, C. 2004. “Temporal aggregation of multivariate GARCH processes”. Erasmus University Rotterdam. Econometric Institute Report 29
  4. Meddahi Nour, Renault Eric, Temporal aggregation of volatility models, 10.1016/s0304-4076(03)00200-8
  5. Francq Christian, Zakoïan Jean-Michel, ESTIMATING WEAK GARCH REPRESENTATIONS, 10.1017/s0266466600165041
  6. Andersen Torben G., Bollerslev Tim, Intraday periodicity and volatility persistence in financial markets, 10.1016/s0927-5398(97)00004-2
  7. Bauwens Luc, Laurent Sébastien, Rombouts Jeroen V. K., Multivariate GARCH models: a survey, 10.1002/jae.842
  8. Hafner C. M., Fourth Moment Structure of Multivariate GARCH Models, 10.1093/jjfinec/nbg001
  9. Newey Whitney K., Steigerwald Douglas G., Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models, 10.2307/2171754
  10. Jeantheau Thierry, STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS, 10.1017/s0266466698141038
  11. Comte F., Lieberman O., Asymptotic theory for multivariate GARCH processes, 10.1016/s0047-259x(02)00009-x
  12. Lütkepohl Helmut, Introduction to Multiple Time Series Analysis, ISBN:9783540569404, 10.1007/978-3-642-61695-2
  13. Engle R., RISK, 9, 36 (1996)
  14. Hafner C., Econometric Theory (2004)