A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. Whereas each conditional-variance term is assum...

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書目詳細資料
Main Authors:	TSE, Yiu Kuen, TSUI, Albert K.C.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	BEKK model Constant correlation Maximum likelihood estimate Monte Carlo method Multivariate GARCH model Varying correlation Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/348 https://ink.library.smu.edu.sg/context/soe_research/article/1347/viewcontent/auto_convert.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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