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ArticleMatrix exponential GARCH

Hiroyuki Kawakatsu2005

Article2005

Matrix exponential GARCH

Hiroyuki Kawakatsu

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

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 1996Impulse response analysis in nonlinear multivariate models 1995Multivariate Simultaneous Generalized ARCH 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited by

2006VOLATILITY AND CORRELATION FORECASTING 2010Efficient estimation of a multivariate multiplicative volatility model 2014A One Line Derivation of EGARCH 2008Multivariate GARCH Models 2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models 2014Volatility transmission in global financial markets

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2003Multivariate GARCH Models: A Surveypreprint · 14 shared references 2005Volatility Forecastingreport · 14 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 12 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 12 shared references 2005Volatility Transmission Models: A Surveypreprint · 12 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 10 shared references

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Year2005

Typearticle

Published2005-08-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations93

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2005.06.023

openalex_workW2033559346

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2017MGARCH models: Trade-off between feasibility and flexibility

2015Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown