The Covariance Structure of Component and Multivariate Garch Models
The 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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- Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May.
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- 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 1507-1521, September.
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