Concepedia

Multivariate GARCH Models

Annastiina Silvennoinen, Timo Teräsvirta

SSRN Electronic Journal · 2008 · 82 citations · 57 references

Open access

Concepts

Social SciencesEconomicsFinanceEconometricsFinancial EconomicsStatistical ModelingModel SpecificationMultivariate StatisticsNonparametric EconometricsSemiparametric EconometricsSemiparametric ModelingVolatility ModelingArch ModelsConditional Heteroskedasticity ModelsGeneralized Autoregressive Conditional Heteroskedasticity ModelsModel Misspecification TestsMultivariate Time Series ModelingSemiparametric Regression ModelsSemiparametric Time Series Models

References

57

Maximum Likelihood from Incomplete Data Via the <i>EM</i> Algorithm

A. P. Dempster, N. M. Laird, Donald B. Rubin · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1977 · 49.7K citations

Public Health, Biostatistics, Bayesian Data Analysis +16

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

The arbitrage theory of capital asset pricing

Stephen A. Ross · Journal of Economic Theory · 1976 · 7.2K citations

Business, Economics, Finance +14

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16