Dissertation o. Habilitation
Dynamic Conditional Eigenvalues: Inference and testing in the λ-GARCH model
In this thesis, we study a class of multivariate generalized autoregressive heteroskedasticity (GARCH) models, denoted the Dynamic Conditional Eigenvalue GARCH (or λ-GARCH) model. Multivariate GARCH models are useful for estimating and filtering time varying(co-)variances, which are used e.g. in empirical asset pricing, Markovitz-type portfoliooptimization and value-at-risk estimation. GARCH models have long been a staple inempirical finance and financial econometrics. This thesis contains three self-containedchapters on the λ-GARCH, covering large-sample properties and bootstrap-based inference.
- Sprache
-
Englisch
- Erschienen in
-
Series: PhD Series ; No. 218
- Klassifikation
-
Wirtschaft
- Thema
-
ARCH-Modell
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hetland, Simon Thinggaard
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Copenhagen, Department of Economics
- (wo)
-
Copenhagen
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Dissertation o. Habilitation
Beteiligte
- Hetland, Simon Thinggaard
- University of Copenhagen, Department of Economics
Entstanden
- 2021
Ähnliche Objekte (12)
Inference and testing in multivariate GARCH models
Conditional Inference for the Dynamic Test Model
Testing for Identificationin SVAR-GARCH Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Sequential conditional correlations: Inference and evaluation
Sequential conditional correlations: Inference and evaluation
The Gaussian conditional independence inference problem
Testing for identification in SVAR-GARCH models
Inference for structural impulse responses in SVAR-GARCH models
Structural Dynamic Conditional Correlation
Inference and testing in multivariate GARCH models
Conditional Inference for the Dynamic Test Model
Testing for Identificationin SVAR-GARCH Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Sequential conditional correlations: Inference and evaluation
Sequential conditional correlations: Inference and evaluation
The Gaussian conditional independence inference problem
Testing for identification in SVAR-GARCH models
Inference for structural impulse responses in SVAR-GARCH models
Structural Dynamic Conditional Correlation
Inference and testing in multivariate GARCH models
Conditional Inference for the Dynamic Test Model
Testing for Identificationin SVAR-GARCH Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Misspecification Testing in GARCH-MIDAS Models
Sequential conditional correlations: Inference and evaluation
Sequential conditional correlations: Inference and evaluation
The Gaussian conditional independence inference problem
Testing for identification in SVAR-GARCH models
Inference for structural impulse responses in SVAR-GARCH models