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.
- Language
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Englisch
- Bibliographic citation
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Series: PhD Series ; No. 218
- Classification
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Wirtschaft
- Subject
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ARCH-Modell
Schätztheorie
- Event
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Geistige Schöpfung
- (who)
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Hetland, Simon Thinggaard
- Event
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Veröffentlichung
- (who)
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University of Copenhagen, Department of Economics
- (where)
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Copenhagen
- (when)
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2021
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Dissertation o. Habilitation
Associated
- Hetland, Simon Thinggaard
- University of Copenhagen, Department of Economics
Time of origin
- 2021
Other Objects (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