Browsing by Subject "Predictive distribution"

Now showing items 1-2 of 2

    • Article  

      An application of three bivariate time-varying volatility models 

      Vrontos, Ioannis D.; Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2001)
      The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...
    • Article  

      Inference for Some Multivariate ARCH and GARCH Models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2003)
      Multivariate time-varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have ...