Robust M-estimation of multivariate GARCH models
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
Reference23 articles.
1. Constrained nonlinear programming for volatility estimation with GARCH models;Altay-Salih;SIAM Review,2003
2. Multivariate mixed normal conditional heteroskedasticity;Bauwens;Computational Statistics and Data Analysis,2007
3. A new class of multivariate skew densities, with application to GARCH models;Bauwens;Journal of Business and Economic Statistics,2005
4. Multivariate GARCH models: A survey;Bauwens;Journal of Applied Econometrics,2006
5. A component GARCH model with time varying weights;Bauwens;Studies in Nonlinear Dynamics & Econometrics,2009
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