In the paper the asymptotic distributions of sample optimal portfolio weights are derived. This is done under the weak assumption on the data generating process. It is assumed that the k -dimensional vector of asset returns follows a VARMA( 1 1 , p q )GARCH( 2 2 , p q ) process with the elliptically distributed error process. The estimators of the mean vector and the covariance matrix of the as...

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized residuals. This is different from the traditional approach that employs only the squared series of standard...

This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and onemonth forward prices for the period 2 June 1992 to 16 January 2004, using recently developed multivariate conditional volatility models, namely the Constant Conditional Correlation Multivariate GARCH (CCCMGARCH) model of Bollerslev [1990], Vector Autoregressive Moving Average – GARCH (VARMAGARCH) m...

Abstract For large multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH), it is important to reduce the number parameters cope with ‘curse dimensionality’. Recently, Laurent, Rombouts and Violante (2014 “Multivariate Rotated ARCH Models” Journal Econometrics 179 : 16–30) developed rotated GARCH model, which focuses on for standardized variables. This paper ext...

To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametric MV-GARCH (SM-GARCH) model. This SM-GARCH model is a twostep model: firstly estimating parametric MV-GARCH model, then using nonparametric skills to model the conditional covariance matrix of the standa...

We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show that the estimator is consistent and asymptotically normal distributed. Our results allow also to derive a closed form for the parameters in the context of temporal aggregation of multivariate GARC...

Environmental issues have become increasingly important in economic research and policy for sustainable development. Such issues are tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. The environmental sustainability activities of firms are assessed using criteria in three areas, namely economic, environmental...