IDEAS home Printed from https://ideas.repec.org/r/fmg/fmgdps/dp453.html
   My bibliography  Save this item

Likelihood-based estimation of latent generalised ARCH structures

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  2. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
  3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  4. Hecq Alain & Laurent Sébastien & Palm Franz C., 2016. "On the Univariate Representation of BEKK Models with Common Factors," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
  5. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
  6. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  7. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
  8. Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
  9. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
  10. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
  11. Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
  12. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016. "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 232-256, February.
  13. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
  14. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 106-118.
  15. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  16. Dovonon, Prosper & Gonçalves, Sílvia, 2017. "Bootstrapping the GMM overidentification test under first-order underidentification," Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
  17. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  18. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  19. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  20. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
  21. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
  22. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
  23. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
  24. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
  25. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo.
  26. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
  27. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  28. Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
  29. Grassi, Stefano & Proietti, Tommaso & Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gianluigi, 2015. "EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries," International Journal of Forecasting, Elsevier, vol. 31(3), pages 712-738.
  30. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
  31. repec:rim:rimwps:40-07 is not listed on IDEAS
  32. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
  33. Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
  34. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  35. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  36. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
  37. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
  38. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  39. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  40. Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020. "Inference in second-order identified models," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
  41. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  42. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  43. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
  44. Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 1-21, June.
  45. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  46. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  47. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.