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Article: Joint modeling of cointegration and conditional heteroscedasticity with applications

TitleJoint modeling of cointegration and conditional heteroscedasticity with applications
Authors
Wong, HLi, WKLing, S
KeywordsCointegration
Full rank maximum likelihood estimator
Least squares estimator
Partially nonstationary
Reduced rank MLE
Vector AR-GARCH model
Issue Date2005
PublisherSpringer Verlag.
Citation
Annals Of The Institute Of Statistical Mathematics, 2005, v. 57 n. 1, p. 83-103 How to Cite?
DOI: http://dx.doi.org/10.1007/BF02506881
AbstractA cointegrated vector AR-GARCH time series model is introduced. Least squares estimator, full rank maximum likelihood estimator (MLE), and reduced rank MLE of the model are presented. Monte Carlo experiments are conducted to illustrate the finite sample properties of the estimators. Its applicability is then demonstrated with the modeling of international stock indices and exchange rates. The model leads to reasonable financial interpretations. © 2005 The Institute of Statistical Mathematics.
Persistent Identifierhttp://hdl.handle.net/10722/83037
ISSN
0020-3157
2021 Impact Factor: 1.180
2020 SCImago Journal Rankings: 0.650
ISI Accession Number ID
WOS:000228816600007
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorWong, Hen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorLing, Sen_HK
dc.date.accessioned2010-09-06T08:36:12Z-
dc.date.available2010-09-06T08:36:12Z-
dc.date.issued2005en_HK
dc.identifier.citationAnnals Of The Institute Of Statistical Mathematics, 2005, v. 57 n. 1, p. 83-103en_HK
dc.identifier.issn0020-3157en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83037-
dc.description.abstractA cointegrated vector AR-GARCH time series model is introduced. Least squares estimator, full rank maximum likelihood estimator (MLE), and reduced rank MLE of the model are presented. Monte Carlo experiments are conducted to illustrate the finite sample properties of the estimators. Its applicability is then demonstrated with the modeling of international stock indices and exchange rates. The model leads to reasonable financial interpretations. © 2005 The Institute of Statistical Mathematics.en_HK
dc.languageengen_HK
dc.publisherSpringer Verlag.en_HK
dc.relation.ispartofAnnals of the Institute of Statistical Mathematicsen_HK
dc.subjectCointegrationen_HK
dc.subjectFull rank maximum likelihood estimatoren_HK
dc.subjectLeast squares estimatoren_HK
dc.subjectPartially nonstationaryen_HK
dc.subjectReduced rank MLEen_HK
dc.subjectVector AR-GARCH modelen_HK
dc.titleJoint modeling of cointegration and conditional heteroscedasticity with applicationsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0020-3157&volume=57&issue=1&spage=83&epage=103&date=2005&atitle=Joint+modeling+of+cointegration+and+conditional+heteroscedasticity+with+applicationsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/BF02506881-
dc.identifier.scopuseid_2-s2.0-23744442346en_HK
dc.identifier.hkuros97856en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-23744442346&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume57en_HK
dc.identifier.issue1en_HK
dc.identifier.spage83en_HK
dc.identifier.epage103en_HK
dc.identifier.isiWOS:000228816600007-
dc.publisher.placeGermanyen_HK
dc.identifier.scopusauthoridWong, H=7402864953en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridLing, S=7102701223en_HK
dc.identifier.issnl0020-3157-

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