This paper discusses the effects of temporal aggregation on causality and forecasting in multivariate GARCH processes. It is shown that spurious instantaneous causality in variance will only appear in ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

This is a preview. Log in through your library . Abstract We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameters of a class of ...

This course is available on the MSc in Applicable Mathematics, MSc in Data Science, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Marketing, MSc in Operations ...