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Article: A simple multivariate ARCH model specified by random coefficients

TitleA simple multivariate ARCH model specified by random coefficients
Authors
KeywordsHadamard product
Likelihood ratio test
Maximum likelihood estimation
Multivariate autoregressive conditional heteroscedasticity
Nonconstant correlation
Random coefficient model
Star product
Issue Date2006
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda
Citation
Computational Statistics And Data Analysis, 2006, v. 51 n. 3, p. 1779-1802 How to Cite?
AbstractThis 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. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82782
ISSN
2015 Impact Factor: 1.179
2015 SCImago Journal Rankings: 1.283
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorFong, PWen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorAn, HZen_HK
dc.date.accessioned2010-09-06T08:33:22Z-
dc.date.available2010-09-06T08:33:22Z-
dc.date.issued2006en_HK
dc.identifier.citationComputational Statistics And Data Analysis, 2006, v. 51 n. 3, p. 1779-1802en_HK
dc.identifier.issn0167-9473en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82782-
dc.description.abstractThis 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. © 2005 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csdaen_HK
dc.relation.ispartofComputational Statistics and Data Analysisen_HK
dc.rightsComputational Statistics & Data Analysis. Copyright © Elsevier BV.en_HK
dc.subjectHadamard producten_HK
dc.subjectLikelihood ratio testen_HK
dc.subjectMaximum likelihood estimationen_HK
dc.subjectMultivariate autoregressive conditional heteroscedasticityen_HK
dc.subjectNonconstant correlationen_HK
dc.subjectRandom coefficient modelen_HK
dc.subjectStar producten_HK
dc.titleA simple multivariate ARCH model specified by random coefficientsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-9473&volume=51&issue=3&spage=1779&epage=1802&date=2006&atitle=A+simple+multivariate+ARCH+model+specified+by+random+coefficientsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.csda.2005.11.019en_HK
dc.identifier.scopuseid_2-s2.0-33750739221en_HK
dc.identifier.hkuros124926en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33750739221&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume51en_HK
dc.identifier.issue3en_HK
dc.identifier.spage1779en_HK
dc.identifier.epage1802en_HK
dc.identifier.isiWOS:000242704300026-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridFong, PW=7103138432en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridAn, HZ=7202277435en_HK

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