![]() |
COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. | ![]() |
University of Cambridge > Talks.cam > Cambridge-INET Institute, Faculty of Economics > Estimating multivariate GARCH and Stochastic Correlation models equation by equation (4 June)
![]() Estimating multivariate GARCH and Stochastic Correlation models equation by equation (4 June)Add to your list(s) Download to your calendar using vCal
If you have a question about this talk, please contact Cambridge-INET Institute, Faculty of Economics. Event webpage: http://www.inet.econ.cam.ac.uk/our-events/Jean-Michael-Zakoian-talk A new approach is proposed to estimate a large class of multivariate volatility models. The method is based on estimating equation-by-equation the volatility parameters of the individual returns by quasi-maximum likelihood in a first step, and estimating the correlations based on volatility-standardized returns in a second step. Instead of estimating a $d$-multivariate volatility model we thus estimate $d$ univariate GARCH -type equations plus a correlation matrix, which is generally much simpler and numerically efficient. The strong consistency and asymptotic normality of the first-step estimator is established in a very general framework. For generalized constant conditional correlation models, and also for some time-varying conditional correlation models, we obtain the asymptotic properties of the two-step estimator. Our estimator can also be used to test the restrictions imposed by a particular MGARCH specification. An application to financial series illustrates the interest of the approach. This talk is part of the Cambridge-INET Institute, Faculty of Economics series. This talk is included in these lists:Note that ex-directory lists are not shown. |
Other listsLeica Scientific Forum The obesity epidemic: Discussing the global health crisis Graduate Students and Postdocs (GRASP) Forum Science@Darwin Monitoring Upper Extremity Activity to Track Rehabilitation Progress following Spinal Cord Injury Cambridge Enterprise eventsOther talksViral evolution on sub-phylogenetic timescales Rhys Jones: Temporal Claustrophobia at the Continental Congress, 1774-1776 Accelerating the control of bovine Tuberculosis in developing countries The genetics of depression Overview of Research Process Seminar – The Cambridge Sustainable Food Hub |