This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Menelaos Karanasos

Additional information is available for the following registered author(s):

Abstract

The purpose of this paper is to examine the covariance structure of multivariate GARCH (M-GARCH) models that have been introduced in the literature the last fifteen years, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the constant conditional correlation M-GARCH model introduced by Bollerslev (1990) and the diagonal M-GARCH model introduced by Bollerslev, Engle and Wooldridge (1988).

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.york.ac.uk/depts/econ/documents/dp/0014.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics, University of York in its series Discussion Papers with number 00/14.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:yor:yorken:00/14

Contact details of provider:
Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
Phone: (0)1904 433776
Fax: (0)1904 433759
Email:
Web page: http://www.york.ac.uk/depts/econ/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Michael Shallcross).

Related research
Keywords: Autocovariance Generating Function; ARMA representations; Diagonal Multivariate GARCH.;

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February. [Downloadable!] (restricted)
  2. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 535-551, December. [Downloadable!]
  3. McCurdy, Thomas H & Morgan, Ieuan G, 1991. "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 587-602, May. [Downloadable!] (restricted)
  4. Fountas, S. & Karanasos, M. & Karanassou, M., 2000. "GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Department of Economics 47, National University of Ireland, Galway - Department of Economics.
    Other versions:
  5. Engel, Charles & Rodrigues, Anthony P, 1989. "Tests of International CAPM with Time-Varying Covariances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(2), pages 119-38, April-Jun. [Downloadable!] (restricted)
    Other versions:
  6. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April. [Downloadable!]
    Other versions:
  7. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November. [Downloadable!] (restricted)
  8. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
    Other versions:
  9. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  10. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May. [Downloadable!] (restricted)
  11. Cecchetti, Stephen G & Cumby, Robert E & Figlewski, Stephen, 1988. "Estimation of the Optimal Futures Hedge," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 623-30, November. [Downloadable!] (restricted)
    Other versions:
  12. Menelaos Karanasos, . "Prediction in ARMA models with GARCH in Mean Effects," Discussion Papers 99/11, Department of Economics, University of York. [Downloadable!]
  13. Diebold & Lopez, . "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania. [Downloadable!]
    Other versions:
  14. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun. [Downloadable!] (restricted)
  15. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
  16. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, . "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York. [Downloadable!]
  17. Ng, Lilian, 1991. " Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach," Journal of Finance, American Finance Association, vol. 46(4), pages 1507-21, September. [Downloadable!] (restricted)
  18. Lin, Wen-Ling, 1997. "Impulse Response Function for Conditional Volatility in GARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 15-25, January.
  19. Menelaos Karanasos, 1998. "The 2nd Moment and the Autocovariance function of the Squared Errors of the GARCH Model," Keele Department of Economics Discussion Papers (1995-2001) 98/01, Department of Economics, Keele University.
  20. McCurdy, T.H. & Morgan, I.G., 1989. "Evidence of risk Premia in Foreign Currency Futures Markets," UFAE and IAE Working Papers 130.90, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  21. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  22. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  23. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February. [Downloadable!]
  24. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-55, September. [Downloadable!] (restricted)
    Other versions:
  25. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.

This page was last updated on 2009-12-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.