Arbeitspapier
Multivariate GARCH models
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes semiparametric and nonparametric GARCH models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate GARCH models are fitted to the same data set and the results compared with each other.
- Sprache
-
Englisch
- Erschienen in
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 669
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
-
autoregressive conditional heteroskedasticity
modelling volatility
nonlinear GARCH
nonparametric GARCH
semiparametric GARCH
Mathematik
ARCH-Modell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Silvennoinen, Annastiina
Teräsvirta, Timo
- Ereignis
-
Veröffentlichung
- (wer)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (wo)
-
Stockholm
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Silvennoinen, Annastiina
- Teräsvirta, Timo
- Stockholm School of Economics, The Economic Research Institute (EFI)
Entstanden
- 2007
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