Inference for Some Multivariate ARCH and GARCH Models
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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