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Robust M-estimation of multivariate GARCH models · Study

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ArticleRobust M-estimation of multivariate GARCH models

Kris Boudt2009

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Articlegreen2009

Robust M-estimation of multivariate GARCH models

Kris Boudt · Christophe Croux

45 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Advanced Statistical Methods and Models

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References

1995Multivariate Simultaneous Generalized ARCH n.d.Multivariate GARCH models: a survey 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS 2007Portfolio Selection With Robust Estimation 2005Neglecting parameter changes in GARCH models 2003Asymptotic theory for multivariate GARCH processes

Cited by

2012Robust ranking of multivariate GARCH models by problem dimension 2012Dynamic factor multivariate GARCH model 2017Robust bootstrap forecast densities for GARCH returns and volatilities 2019Multivariate GARCH models for large-scale applications: A survey 2012Regime Switches in the Volatility and Correlation of Financial Institutions 2017Robust normal mixtures for financial portfolio allocation

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2017MGARCH models: Trade-off between feasibility and flexibilityarticle · 8 shared references 2003Multivariate GARCH Models: A Surveypreprint · 7 shared references 2013Estimating VAR-MGARCH models in multiple stepsarticle · 7 shared references 2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatilityarticle · 6 shared references 2006Effects of outliers on the identification and estimation of GARCH modelsarticle · 6 shared references 2007Analytical quasi maximum likelihood inference in multivariate volatility modelsarticle · 6 shared references

Details

Year2009

Typearticle

Published2009-11-14

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2009.11.007

openalex_workW2080859637

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