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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Silvennoinen, Annastiina
  • Teräsvirta, Timo
  • Stockholm School of Economics, The Economic Research Institute (EFI)

Entstanden

  • 2007

Ähnliche Objekte (12)