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Ranking Multivariate GARCH Models by Problem Dimension
http://hdl.handle.net/2261/35792
http://hdl.handle.net/2261/357922d5479b0-911a-4aa3-878a-ec0118b2795d
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Ranking Multivariate GARCH Models by Problem Dimension | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Covariance forecasting | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | model confidence set | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | model ranking | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | MGARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | model comparison | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL codes: C32, C53, C52. | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Caporin, Massimiliano
× Caporin, Massimiliano× McAleer, Michael |
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| 著者所属 | ||||||
| 値 | Department of Economics and Management “Marco Fanno”University of Padova, Italy | |||||
| 著者所属 | ||||||
| 値 | Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands | |||||
| 著者所属 | ||||||
| 値 | Tinbergen Institute, The Netherlands | |||||
| 著者所属 | ||||||
| 値 | Department of Economics and Finance, University of Canterbury, New Zealand | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC of Bollerslev (1990), Exponentially Weighted Moving Average, and covariance shrinking of Ledoit and Wolf (2004), using the historical data of 89 US equities. Our methods follow some of the approach described in Patton and Sheppard (2009), and contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings are influenced by the cross-sectional dimension of the problem. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-742, 発行日 2010-05 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf742ab.html | |||||
