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A simple multivariate ARCH model specified by random coefficients

文献类型：期刊论文

作者Fong, P. W.; Li, W. K.; An, Hong-Zhi
刊名COMPUTATIONAL STATISTICS & DATA ANALYSIS
出版日期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
DOI10.1016/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
WOS记录号WOS:000242704300026
出版者ELSEVIER SCIENCE BV
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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