A simple multivariate ARCH model specified by random coefficients

doi:10.1016/j.csda.2005.11.019

CSpace

	A simple multivariate ARCH model specified by random coefficients
	Fong, P. W.; Li, W. K.; An, Hong-Zhi
	2006-12-01
发表期刊	COMPUTATIONAL STATISTICS & DATA ANALYSIS
ISSN	0167-9473
卷号	51 期号:3 页码:1779-1802
摘要	This paper provides an alternative formulation of the conditional correlation structure in fitting the multivariate GARCH model. A special case is the multivariate ARCH model with random coefficients. Its coherence structure is derived by the correlations between the random coefficients which play an important role in describing the interested heteroscedastic features. The parameter estimation problem can be solved by maximum likelihood estimation and model selection is via the likelihood ratio test. We consider three real applications: (1) the spot and forward rates of the Deutsche Mark against the US dollars; (2) exchange rates of Deutsche Mark and Japanese Yen against US dollars; (3) the Heng Sang index and SES index. (c) 2005 Elsevier B.V. All rights reserved.
关键词	likelihood ratio test maximum likelihood estimation multivariate autoregressive conditional heteroscedasticity nonconstant correlation random coefficient model Hadamard product star product
DOI	10.1016/j.csda.2005.11.019
语种	英语
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000242704300026
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/3750
专题	中国科学院数学与系统科学研究院
通讯作者	Li, W. K.
作者单位	1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Fong, P. W.,Li, W. K.,An, Hong-Zhi. A simple multivariate ARCH model specified by random coefficients[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2006,51(3):1779-1802.
APA	Fong, P. W.,Li, W. K.,&An, Hong-Zhi.(2006).A simple multivariate ARCH model specified by random coefficients.COMPUTATIONAL STATISTICS & DATA ANALYSIS,51(3),1779-1802.
MLA	Fong, P. W.,et al."A simple multivariate ARCH model specified by random coefficients".COMPUTATIONAL STATISTICS & DATA ANALYSIS 51.3(2006):1779-1802.