SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Asymptotic theory for multivariate GARCH processes · Study

ArticleShelves

ArticleAsymptotic theory for multivariate GARCH processes

Fabienne Comte2003

OA

Articlebronze2003

Asymptotic theory for multivariate GARCH processes

Fabienne Comte · Offer Lieberman

301 citations·0/0 files stored·Journal of Multivariate Analysis

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 301 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1990Stationarity and Persistence in the GARCH(1,1) Model 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator 1992Stationarity of Garch processes and of some nonnegative time series

Cited by

2008TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY 2009A component model for dynamic correlations 2014Dynamic spillovers among major energy and cereal commodity prices 2011Multivariate high‐frequency‐based volatility (HEAVY) models 2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Modelling Nonlinear Economic Time Seriesbook · 9 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 9 shared references 2005Volatility Forecastingreport · 9 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 9 shared references 2002Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratingspreprint · 9 shared references 2014ARCH and GARCH Modelsother · 9 shared references

Details

Year2003

Typearticle

Published2003-01-01

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations301

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0047-259x(02)00009-x

openalex_workW2012705547

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2002

Evaluating GARCH models

2013Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets

2011DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS