Analytical quasi maximum likelihood inference in multivariate volatility models

By Christian M. Hafner, Helmut Herwartz. 2003

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/341b67a039da72f30c9ae19d4b34a7af8127b518

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In Economics and Econometrics

1. Esther Ruiz
2. Luiz Koodi Hotta
3. D. Almeida

In Finance

1. Esther Ruiz
2. Luiz Koodi Hotta
3. D. Almeida

Citations in the corpus

• A Multivariate Generalized Orthogonal Factor GARCH Model (2007, unknown): “Here Et−1(∂(2) l̄t(θ)/∂θ ∂θ )|θ=θ̂ could be replaced by ∂2 l̄t (̂θ)/∂θ ∂θ ′, but, according to Hafner and Herwartz (2003), the given form is preferable.”
• MGARCH models: Trade-off between feasibility and flexibility (2018, background): “First, empirical evidence on volatility feedbacks is plentiful; see Granger et al. (1986), Engle et al. (1990), Comte and Lieberman (2000), Hafner and Herwartz (2006, 2008b), Bai and Chen (2008), Diebold and Yilmaz (2009), Nakatani and Teräsvirta (2009), Conrad and Karanasos (2010), Beirne et al.…”