STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS

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	STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS
	Chan, Ngai-Hang 1; Chen, Jian 2; Chen, Xiaohong 3,4; Fan, Yanqin 5; Peng, Liang 6
刊名	STATISTICA SINICA
	2009-01
卷号	19 期号:1 页码:53-70
关键词	Copula GARCH goodness-of-fit test pseudo maximum likelihood estimation residual empirical distribution
ISSN号	1017-0405
英文摘要	Recently a flexible class of semiparametric copula-based multivariate GARCH models has been proposed to quantify multivariate risks, in which univariate GARCH models are used to capture the dynamics of individual financial series, and parametric copulas are used to model the contemporaneous dependence among GARCH residuals with nonparametric marginals. In this paper we address two questions regarding statistical inference for this class of models. (1) Under what mild sufficient conditions is the asymptotic distribution of the pseudo maximum likelihood estimator (MLE) of the residual copula parameter of Chen and Fan (2006a) justified? (2) How do we test the correct specification of a parametric copula for the GARCH residuals? In order to answer both questions rigorously, we establish a new weighted approximation for the empirical distributions of the GARCH residuals, which is of interest in its own right. Simulation studies and data examples are provided to examine the finite sample performance of the pseudo MLE of the residual copula parameter and the proposed goodness-of-fit test.
WOS研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000262690000008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2936]
专题	上海财经大学
通讯作者	Chan, Ngai-Hang
作者单位	1.Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China; 2.Sage SB Inc, Lawrenceville, GA 30043 USA; 3.Yale Univ, Dept Econ, New Haven, CT 06520 USA; 4.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 5.Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA; 6.Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA
推荐引用方式 GB/T 7714	Chan, Ngai-Hang,Chen, Jian,Chen, Xiaohong,et al. STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS[J]. STATISTICA SINICA,2009,19(1):53-70.
APA	Chan, Ngai-Hang,Chen, Jian,Chen, Xiaohong,Fan, Yanqin,&Peng, Liang.(2009).STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS.STATISTICA SINICA,19(1),53-70.
MLA	Chan, Ngai-Hang,et al."STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS".STATISTICA SINICA 19.1(2009):53-70.