UTokyo Repository 東京大学

UTokyo Repository >
117 経済学研究科・経済学部 >
70 日本経済国際共同センター >
Discussion Paper F series (in English) >

このページ(論文)をリンクする場合は次のURLを使用してください: http://hdl.handle.net/2261/35794

タイトル: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
著者: Caporin, Massimiliano
McAleer, Michael
キーワード: multivariate asymmetry
conditional variance
stationarity conditions
asymptotic theory
multivariate news impact curve
JEL codes: C32, C51, C52
発行日: 2010年5月
出版者: 日本経済国際共同センター
抄録: DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset-specific shocks and common innovations by partitioning the multivariate density support. This paper presents the model structure, describes the implementation issues, and provides the conditions for the existence of a unique stationary solution, and for consistency and asymptotic normality of the quasimaximum likelihood estimators. The paper also presents an empirical example to highlight the usefulness of the new model.
内容記述: Forthcoming in Statistica Neerlandica.
URI: http://hdl.handle.net/2261/35794
その他の識別子: CIRJE-F-740
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


ファイル 記述 サイズフォーマット
2010cf740.html605 BHTML見る/開く



Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - ご意見をお寄せください