{"id":679,"date":"2013-03-05T13:00:49","date_gmt":"2013-03-05T12:00:49","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/?p=679"},"modified":"2015-07-17T14:15:33","modified_gmt":"2015-07-17T13:15:33","slug":"federico-poloni-and-giacomo-sbrana-estimating-econometric-models-through-matrix-equations","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/federico-poloni-and-giacomo-sbrana-estimating-econometric-models-through-matrix-equations\/","title":{"rendered":"Federico Poloni and Giacomo Sbrana, \u201cEstimating Econometric Models through Matrix Equations\u201d"},"content":{"rendered":"<p style=\"text-align: center;\"><span lang=\"IT\">Tuesday\u00a0March\u00a05<span style=\"font-size: 12px; line-height: 0px;\">\u00a0<\/span>\u00a02013<\/span><br \/>\n13.00<br \/>\nScuola Normale Superiore<br \/>\nAula\u00a0Bianchi<\/p>\n<p style=\"text-align: center;\"><strong>Federico Poloni<br \/>\n<\/strong>Dipartimento di Informatica &#8211;\u00a0Universit\u00e0 di Pisa<br \/>\n<strong>Giacomo Sbrana<br \/>\n<\/strong>Rouen Business School<\/p>\n<p style=\"text-align: center;\" align=\"center\"><strong><span lang=\"EN-GB\">Abstract<br \/>\n<\/span><\/strong><\/p>\n<p style=\"text-align: center;\">We present an algorithm to estimate the parameters of multivariate ARMA, GARCH and stochastic volatility models. The approach is based on a moment estimator; a similar approach has already been suggested in literature for univariate GARCH but its generalization to multivariate models requires some more linear algebra machinery, especially in the field of matrix equations.<br \/>\nThe resulting estimator is extremely fast to compute, in comparison to maximum-likelihood approaches. We also discuss methods to regularize and improve this estimate.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tuesday\u00a0March\u00a05\u00a0\u00a02013 13.00 Scuola Normale Superiore Aula\u00a0Bianchi Federico Poloni Dipartimento di Informatica &#8211;\u00a0Universit\u00e0 di Pisa Giacomo Sbrana Rouen Business School Abstract We present an algorithm to estimate the parameters of multivariate ARMA, GARCH and stochastic volatility models. The approach is based on a moment estimator; a similar approach has already been suggested in literature for univariate [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/679"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=679"}],"version-history":[{"count":1,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/679\/revisions"}],"predecessor-version":[{"id":680,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/679\/revisions\/680"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=679"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=679"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=679"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}