Method of moments estimation of GO-GARCH models-Reference-Cited by-同舟云学术

Method of moments estimation of GO-GARCH models

Published:2011-07 Issue:1 Volume:163 Page:118-126
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Peter Boswijk H.,van der Weide Roy

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference31 articles.

1. Orthogonal GARCH;Alexander,2001

2. International asset allocation under regime switching;Ang;Review of Financial Studies,2002

3. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002

4. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006

5. Beaghen, M., 1997. Canonical Variate Analysis and Related Methods with Longitudinal Data. Ph.D. Dissertation, Virginia Polytechnic Institute and State University, http://scholar.lib.vt.edu/theses/available/etd-11997-212717/unrestricted/etd.pdf.

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