Variance targeting estimation of multivariate GARCH models
Christian Francq, Lajos Horváth, Jean-Michel Zakoïan
| Year of publication: |
2016
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|---|---|
| Authors: | Francq, Christian ; Horváth, Lajos ; Zakoïan, Jean-Michel |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 2, p. 353-382
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| Subject: | adequacy test for CCC-GARCH models | bootstrap | leverage effect | quasi-maximum-likelihood estimation | variance-targeting estimator | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011589013