Flexible multivariate GARCH modeling with an application to international stock markets

Detalhes bibliográficos
Autor(a) principal: Santa-Clara, Pedro
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/14828
Resumo: This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.
id RCAP_c06ff9cd80490b454a81033230c547be
oai_identifier_str oai:run.unl.pt:10362/14828
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Flexible multivariate GARCH modeling with an application to international stock marketsThis paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.MIT PressRUNSanta-Clara, Pedro2015-04-27T15:01:11Z2003-082003-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/14828engReview of Economics and Statistics, V.85(3), p. 735-747info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:50:11Zoai:run.unl.pt:10362/14828Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:06.873667Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Flexible multivariate GARCH modeling with an application to international stock markets
title Flexible multivariate GARCH modeling with an application to international stock markets
spellingShingle Flexible multivariate GARCH modeling with an application to international stock markets
Santa-Clara, Pedro
title_short Flexible multivariate GARCH modeling with an application to international stock markets
title_full Flexible multivariate GARCH modeling with an application to international stock markets
title_fullStr Flexible multivariate GARCH modeling with an application to international stock markets
title_full_unstemmed Flexible multivariate GARCH modeling with an application to international stock markets
title_sort Flexible multivariate GARCH modeling with an application to international stock markets
author Santa-Clara, Pedro
author_facet Santa-Clara, Pedro
author_role author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Santa-Clara, Pedro
description This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.
publishDate 2003
dc.date.none.fl_str_mv 2003-08
2003-08-01T00:00:00Z
2015-04-27T15:01:11Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/14828
url http://hdl.handle.net/10362/14828
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Review of Economics and Statistics, V.85(3), p. 735-747
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MIT Press
publisher.none.fl_str_mv MIT Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137860793663488

Registros relacionados