Inference for Some Multivariate ARCH and GARCH Models

Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas

dc.contributor.author	Vrontos, Ioannis D.	en
dc.contributor.author	Dellaportas, Petros	en
dc.contributor.author	Politis, Dimitris Nicolas	en
dc.creator	Vrontos, Ioannis D.	en
dc.creator	Dellaportas, Petros	en
dc.creator	Politis, Dimitris Nicolas	en
dc.date.accessioned	2019-12-02T10:38:47Z
dc.date.available	2019-12-02T10:38:47Z
dc.date.issued	2003
dc.identifier.uri	http://gnosis.library.ucy.ac.cy/handle/7/57760
dc.description.abstract	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 attracted a lot of practical interest. Bayesian and classical techniques are used for the estimation of the parameters of the models and model comparisons are addressed via predictive distributions. We provide implementation details and illustrations using daily exchange rates of the Athens exchange market. Copyright © 2003 John Wiley & Sons, Ltd.	en
dc.source	Journal of Forecasting	en
dc.source.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-0344083575&partnerID=40&md5=bd82350d018031d8ed876367c9086534
dc.subject	Mathematical models	en
dc.subject	Regression analysis	en
dc.subject	Marketing	en
dc.subject	Monte Carlo methods	en
dc.subject	Maximum likelihood	en
dc.subject	Maximum likelihood estimation	en
dc.subject	Finance	en
dc.subject	Forecasting	en
dc.subject	Markov processes	en
dc.subject	Parameter estimation	en
dc.subject	Time varying systems	en
dc.subject	Markov chain Monte Carlo	en
dc.subject	Autoregressive conditional heteroscedasticity	en
dc.subject	Exchange rates	en
dc.subject	Model comparison	en
dc.subject	Multivariate models	en
dc.subject	Predictive distribution	en
dc.title	Inference for Some Multivariate ARCH and GARCH Models	en
dc.type	info:eu-repo/semantics/article
dc.description.volume	22
dc.description.issue	6-7
dc.description.startingpage	427
dc.description.endingpage	446
dc.author.faculty	Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences
dc.author.department	Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.type.uhtype	Article	en
dc.description.notes	<p>Cited By :10</p>	en
dc.source.abbreviation	J.Forecast.	en
dc.contributor.orcid	Vrontos, Ioannis D. [0000-0002-3283-6668]
dc.gnosis.orcid	0000-0002-3283-6668

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