Estimation and forecasting of dynamic conditional covariance: A semiparametric multivariate model

• Main Authors: LONG, Xiangdong, SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Conditional Covariance Matrix; Multivariate GARCH; Portfolio; Semiparametric Estimator; Specification Test.; Econometrics; Multivariate Analysis
• Online Access: https://ink.library.smu.edu.sg/soe_research/1332; https://ink.library.smu.edu.sg/context/soe_research/article/2331/viewcontent/Estimation_and_Forecasting_of_Dynamic_Conditional_Covariance_A_Semiparametric_Multivariate_Model.pdf
• Institution: Singapore Management University

We propose a semiparametric conditional covariance (SCC) estimator that combines the first-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a nonpa...