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ArticleTesting multivariate distributions in GARCH models

Jushan Bai2007

Article2007

Testing multivariate distributions in GARCH models

49 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2006Analysis of Financial Time Series n.d.Multivariate GARCH models: a survey 1986Generalized autoregressive conditional heteroscedasticity 1991Semiparametric ARCH Models 2003Testing Parametric Conditional Distributions of Dynamic Models 1993A Test for Multivariate Normality in Stock Returns

Cited by

2017MGARCH models: Trade-off between feasibility and flexibility 2009Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility 2018CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS 2013Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models

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2006Chapter 15 Volatility and Correlation Forecastingchapter · 5 shared references 2008Glossary to ARCH (GARCH)preprint · 5 shared references 2005Volatility Forecastingreport · 5 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 5 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 5 shared references 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlationsarticle · 4 shared references

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Year2007

Typearticle

Published2007-08-23

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2007.08.012

openalex_workW2015024767

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