Bayesian Analysis of General Asymmetric Multivariate GARCH Models and News Impact Curves
نویسندگان
چکیده
منابع مشابه
Bayesian Analysis of General Asymmetric Multivariate Garch Models and News Impact Curves
The BEKK model is a popular multivariate GARCH processes. The paper develops a new general asymmetric BEKK structure, which is based on recent empirical findings by semi-parametric news impact curves. For estimating the new model, a Markov chain Monte Carlo technique is used. Empirical results for triviarte asset returns from firms in the US indicate that the deviance information criterion favo...
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DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset-specific shocks and common innovations by partitioning the ...
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Estimation of multivariate GARCH models is usually carried out by quasi maximum likelihood (QMLE), for which recently consistency and asymptotic normality have been proven under quite general conditions. However, there are to date no results on the efficiency loss of QMLE if the true innovation distribution is not multinormal. We investigate this issue by suggesting a nonparametric estimation o...
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ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2015
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.45.129