Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/149475 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 16-071/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.
Schlagwörter: 
Multivariate conditional volatility
Vector random coefficient autoregressive process
Asymmetry
Long memory
Dynamic conditional correlations
Regularity conditions
Asymptotic properties
JEL: 
C13
C32
C58
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
172.85 kB





Publikationen in EconStor sind urheberrechtlich geschützt.