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Multivariate GARCH Models : A Survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2004
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics
Persistent link: https://www.econbiz.de/10014084332
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A new class of multivariate skew densities, with application to GARCH models
Bauwens, Luc; Laurent, Sébastien - 2002
Persistent link: https://www.econbiz.de/10001672395
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A new class of multivariate skew densities, with application to generalized autoregressive conditionalheteroscedasticity models
Bauwens, Luc; Laurent, Sébastien - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 346-354
Persistent link: https://www.econbiz.de/10003013029
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We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
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We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - 2022
Persistent link: https://www.econbiz.de/10013179719
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Advances in the specification and the estimation of multivariate GARCH models
Rombouts, Jeroen V. K. - 2004
Persistent link: https://www.econbiz.de/10002362723
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Semiparametric multivariate GARCH models
Hafner, Christian M.; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001790716
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Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002186338
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Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M.; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001876196
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Nonparametric density estimation for positive time series
Bouezmarni, Taoufik (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003376143