A simple multivariate ARCH model specified by random coefficients | |
Fong, P. W.; Li, W. K.; An, Hong-Zhi | |
刊名 | COMPUTATIONAL STATISTICS & DATA ANALYSIS
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2006-12-01 | |
卷号 | 51期号:3页码:1779-1802 |
关键词 | likelihood ratio test maximum likelihood estimation multivariate autoregressive conditional heteroscedasticity nonconstant correlation random coefficient model Hadamard product star product |
ISSN号 | 0167-9473 |
DOI | 10.1016/j.csda.2005.11.019 |
英文摘要 | 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. |
WOS研究方向 | Computer Science ; Mathematics |
语种 | 英语 |
出版者 | ELSEVIER SCIENCE BV |
WOS记录号 | WOS:000242704300026 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/3749] ![]() |
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. |
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