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On sensitivity of inference in Bayesian MSF-MGARCH models

Osiewalski, Jacek; Pajor, Anna - In: Central European journal of economic modelling and … 11 (2019) 3, pp. 173-197

Persistent link: https://www.econbiz.de/10012294603

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M. - 2010

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

Persistent link: https://www.econbiz.de/10013148178

Efficient estimation of a multivariate multiplicative volatility model

Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73

Persistent link: https://www.econbiz.de/10008839940

Estimation of correlation between latent processes

Kimura, Akitoshi; Yoshida, Nakahiro - In: Advanced modelling in mathematical finance : in honour …, (pp. 131-146). 2016

Persistent link: https://www.econbiz.de/10011800345

Estimating high dimensional multivariate stochastic volatility models

Pelagatti, Matteo; Sbrana, Giacomo - 2020

Persistent link: https://www.econbiz.de/10012318391

Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …

Persistent link: https://www.econbiz.de/10012424283

A new approach to identifying the real effects of uncertainty shocks

Shin, Minchul; Zhong, Molin - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 367-379

Persistent link: https://www.econbiz.de/10012262481

On the correlations in linearized multivariate stochastic volatility models

Moussa, Karim - 2025

In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data …

Persistent link: https://www.econbiz.de/10015333113

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

Persistent link: https://www.econbiz.de/10014247836