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Qml Estimation Of A Class Of Multivariate Asymmetric Garch Models

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  1. Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel, 2019. "Functional GARCH models: The quasi-likelihood approach and its applications," Journal of Econometrics, Elsevier, vol. 209(2), pages 353-375.
  2. Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
  3. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
  4. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  5. Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian, 2024. "Asymmetric Models for Realized Covariances," LIDAM Discussion Papers CORE 2024024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016. "Variance Targeting Estimation of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
  7. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
  8. Zhang, Rui, 2024. "Asymmetric beta-binomial GARCH models for time series with bounded support," Applied Mathematics and Computation, Elsevier, vol. 470(C).
  9. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
  10. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Division of Economics, School of Business, University of Leicester.
  11. Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
  12. Wintenberger, Olivier & Cai, Sixiang, 2011. "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper 31767, University Library of Munich, Germany.
  13. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
  14. Boubacar Maïnassara, Y. & Kadmiri, O. & Saussereau, B., 2022. "Estimation of multivariate asymmetric power GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  15. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
  16. Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
  17. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
  18. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
  19. Manabu Asai & Mike K. P. So, 2021. "Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 271-294, May.
  20. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  21. Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for a class of multivariate asymmetric power GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 964-1002, November.
  22. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
  23. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
  24. Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
  25. Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
  26. Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
  27. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  28. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014. "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 26-40.
  29. Charemza, Wojciech & Díaz, Carlos & Makarova, Svetlana, 2019. "Quasi ex-ante inflation forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 35(3), pages 994-1007.
  30. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
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