Proxy-identification of a structural MGARCH model for asset returns
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- Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
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Cited by:
- Fengler, Matthias & Polivka, Jeannine, 2022.
"Structural Volatility Impulse Response Analysis,"
Economics Working Paper Series
2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
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More about this item
Keywords
identification; Riemannian optimization; structural MGARCH; structural modeling; variance decomposition; volatility spillovers;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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