EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Adequacy Test for CCC-GARCH models"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 1 ARCH-Modell 1 Adequacy Test for CCC-GARCH models 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Capital income 1 Estimation 1 Estimation theory 1 Kapitaleinkommen 1 Leverage Effect 1 Quasi Maximum Likelihood Estimation 1 Schätztheorie 1 Schätzung 1 Time series analysis 1 Variance Targeting Estimator 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 adequacy test for CCC-GARCH models 1 bootstrap 1 leverage effect 1 quasi-maximum-likelihood estimation 1 variance-targeting estimator 1
more ... less ...
Online availability
All
Free 1 Undetermined 1
Type of publication
All
Article 1 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Francq, Christian 2 Horvath, Lajos 1 Horváth, Lajos 1 Zakoian, Jean-Michel 1 Zakoïan, Jean-Michel 1
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 MPRA Paper 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
We establish the strong consistency and the asymptotic normality of the variance-targeting estimator (VTE) of the parameters of the multivariate CCC-GARCH($p,q$) processes. This method alleviates the numerical difficulties encountered in the maximization of the quasi likelihood by using an...
Persistent link: https://www.econbiz.de/10011112445
Saved in:
Cover Image
Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...