Rombouts, J.V.K.

model distribution estimation multivariate matrix garch parameter density estimate innovation result process assumption return vector portfolio 1/2 frequency frequency process semiparametric table covariance estimator error likelihood level semi-parametric section variance example -1/2 multivariate garch models univariate value-at-risk paper correlation condition nasdaq journal aggregation value failure rates kernel matrice square aggregated function element engle statistic right block nonparametric 2 dn dn moment sample proposition mgarch series lemma dimension deviation class method position covariance matrix student proof asset management estimators parameter estimates adaptive estimation report dm dm orthogonal information right failure p-value simulation study