The Covariance Structure of Component and Multivariate Garch Models
AbstractThe purpose of this paper is to examine the variance-covariance structure of GARCH models that have been introduced in the literature the last decade, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the sum of GARCH models examined in Karanasos, Psaradakis and Sola (1998), the multivariate GARCH models presented by Bollerslev, Engle and Wooldridge (1998) and Bollerslev (1990), the component GARCH models introduced by Ding And Granger (1996) and Karanasos (1998b), and the GARCH-M-X models presented by Longstaff and Schwartz (1992), and Christodoulakis, Hatgioannides and Karanasos (1998).
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 99/12.
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More information through EDIRC
Autocovariances; Multivariate GARCH; N Components; GARCH in mean.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-10-28 (All new papers)
- NEP-ECM-1999-10-28 (Econometrics)
- NEP-ETS-1999-10-28 (Econometric Time Series)
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