Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
Copyright policy )Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
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- University of Milan Italy
- Ludwig-Maximilians-Universität München Germany
- University of Pavia Italy
330, C32 - Time-Series Models, C52 - Model Evaluation, Multivariate GARCH models; Model uncertainty; Quasi-maximum likelihood; Monte Carlo methods, State Space Models, Dynamic Quantile Regressions, Diffusion Processes, Multivariate GARCH model, Validation, Quasi-maximum likelihood, Statistical methods; economic indices and measures, and Selection, Applications of statistics to economics, ddc:330, Dynamic Treatment Effect Models, Multivariate GARCH models, Monte Carlo methods, Börsenkurs, Handelsvolumen der Börse, Volatilität, C01 - Econometrics, Economic time series analysis, Kointegration, Model uncertainty, Kopula (Mathematik), jel: jel:C01, jel: jel:C52, jel: jel:C32
330, C32 - Time-Series Models, C52 - Model Evaluation, Multivariate GARCH models; Model uncertainty; Quasi-maximum likelihood; Monte Carlo methods, State Space Models, Dynamic Quantile Regressions, Diffusion Processes, Multivariate GARCH model, Validation, Quasi-maximum likelihood, Statistical methods; economic indices and measures, and Selection, Applications of statistics to economics, ddc:330, Dynamic Treatment Effect Models, Multivariate GARCH models, Monte Carlo methods, Börsenkurs, Handelsvolumen der Börse, Volatilität, C01 - Econometrics, Economic time series analysis, Kointegration, Model uncertainty, Kopula (Mathematik), jel: jel:C01, jel: jel:C52, jel: jel:C32
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