標題: On the multivariate EGARCH model
作者: Jane, Ten-Der
Ding, Cherng G.
經營管理研究所
Institute of Business and Management
公開日期: 2009
摘要: In this aticle, the extension of Nelson's (1991) univariate EGARCH model to the multivariate version has been reexamined and compared with the existing one given by Koutmos and Booth (1995). The magnitude and sign of standardized innovations have been constrained in Koutmos and Booth's multivariate EGARCH model, but not in the actual multivariate EGARCH model. The constraints imposed on Koutmos and Booth's EGARCH model may lead to inaccurate parameter estimates. Since the actual multivariate EGARCH model obtained is more general, and can produce more accurate inferential results, we suggest that the actual multivariate EGARCH model be used in future financial empirical studies.
URI: http://hdl.handle.net/11536/14212
http://dx.doi.org/10.1080/13504850701604383
ISSN: 1350-4851
DOI: 10.1080/13504850701604383
期刊: APPLIED ECONOMICS LETTERS
Volume: 16
Issue: 17
起始頁: 1757
結束頁: 1761
顯示於類別:期刊論文


文件中的檔案:

  1. 000271823200017.pdf