JOURNAL ARTICLE
Semiparametric Estimation of Multivariate GARCH Models
Year: 2015 Journal: SSRN Electronic Journal Publisher: RELX Group (Netherlands)
Keywords:
Multivariate statistics Econometrics Autoregressive conditional heteroskedasticity Estimation Semiparametric model Statistics Mathematics Economics Nonparametric statistics Volatility (finance)
Metrics
2
Cited By
0.00
FWCI (Field Weighted Citation Impact)
20
Refs
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Market Dynamics and Volatility
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
Hydrology and Drought Analysis
Physical Sciences → Environmental Science → Global and Planetary Change
Related Documents
JOURNAL ARTICLE
Semiparametric Estimation of Multivariate GARCH Models
Journal: Open Journal of Statistics Year: 2015 Vol: 05 (07)Pages: 852-858
JOURNAL ARTICLE
Efficient estimation in semiparametric GARCH models
Feike C. DrostChris A. J. Klaassen
Journal: Journal of Econometrics Year: 1997 Vol: 81 (1)Pages: 193-221
JOURNAL ARTICLE
Efficient Estimation in Semiparametric GARCH Models
Feike C. DrostChris A. J. Klaassen
Journal: SSRN Electronic Journal Year: 1997
JOURNAL ARTICLE
Bayesian Semiparametric Multivariate GARCH Modeling
Journal: SSRN Electronic Journal Year: 2012
JOURNAL ARTICLE
Bayesian semiparametric multivariate GARCH modeling
Journal: Journal of Econometrics Year: 2013 Vol: 176 (1)Pages: 3-17