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ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
Econometric Theory, 2007This paper deals with issues of structure and parametrization of VECH models proposed in Bollerslev, Engle, and Wooldridge (1988) and Baba, Engle, Kraft, and Kroner (BEKK) models. Both general models and also restricted versions such as the widely used diagonal VECH (DVECH) and factor generalized autoregressive conditional heteroskedastic (F-GARCH ...
Eva Ribarits, W. Scherrer
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A multivariate skew-garch model
2005Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news.
DE LUCA, GIOVANNI +2 more
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2003
When modeling multivariate economic and financial time series using vector autoregressive (VAR) models, squared residuals often exhibit significant serial correlation. For univariate time series, Chapter 7 indicates that the time series may be conditionally heteroskedastic, and GARCH models have been proved to be very successful at modeling the serial ...
Eric Zivot, Jiahui Wang
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When modeling multivariate economic and financial time series using vector autoregressive (VAR) models, squared residuals often exhibit significant serial correlation. For univariate time series, Chapter 7 indicates that the time series may be conditionally heteroskedastic, and GARCH models have been proved to be very successful at modeling the serial ...
Eric Zivot, Jiahui Wang
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GO‐GARCH: a multivariate generalized orthogonal GARCH model
Journal of Applied Econometrics, 2002AbstractMultivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while ...
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Dynamic Factor Multivariate GARCH Model
SSRN Electronic Journal, 2012Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH speci cation with a flexible modeling strategy for the common factors, for the individual assets, and for the factor loads.
André A. P. Santos +2 more
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2017
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the
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4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the
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Variance (Non) Causality in Multivariate GARCH
Econometric Reviews, 2007This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH.
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On spatial contagion and multivariate GARCH models
Applied Stochastic Models in Business and Industry, 2013We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models.
Jaworski, Piotr, Pitera, Marcin
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Robust M-Estimation of Multivariate GARCH models
SSRN Electronic Journal, 2007The Gaussian quasi-maximum likelihood estimator of Multivariate GARCH models is shown to be very sensitive to outliers in the data. A class of robust M-estimators for MGARCH models is developed. To increase the robustness of the estimators, the use of volatility models with the property of bounded innovation propagation is recommended.
Christophe Croux +3 more
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REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
Journal of Applied Econometrics, 2014SUMMARYWe introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of volatilities and correlations from high‐frequency data, which is particularly useful for modeling financial returns
Valeri Voev +3 more
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