Multivariate GARCH models: a survey

Journal of Applied Econometrics - Tập 21 Số 1 - Trang 79-109 - 2006
Luc Bauwens1, Sébastien Laurent2, Jeroen V.K. Rombouts1
1CORE and Department of Economics, Université catholique de Louvain, Belgium
2CeReFim, Université de Namur and CORE, Université catholique de Louvain, Belgium

Tóm tắt

AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

Từ khóa


Tài liệu tham khảo

Alexander CO, 2001, Market Models

AlexanderCO ChibumbaAM.1997.Multivariate orthogonal factor GARCH. Mimeo University of Sussex.

10.1111/1468-0262.00418

10.2307/2298007

10.1016/S0304-4076(95)01749-6

Barndorff‐Nielsen OE, 2001, Normal modified stable processes, Theory of Probability and Mathematics Statistics, 65, 1

Bauwens L, 2002, A new class of multivariate skew densities, with application to GARCH models, Journal of Business and Economic Statistics

BauwensL RomboutsJVK.2003.Bayesian clustering of similar GARCH models. CORE DP 2003/87.

BauwensL LaurentS RomboutsJVK.2003.Multivariate GARCH models: a survey. CORE DP 2003/31.

10.1111/j.1467-6419.1993.tb00170.x

10.1016/S0927-5398(01)00050-0

Bera AK, 1997, Estimation of time‐varying hedging ratios for corns and soybeans: BGARCH and random coefficient approaches, Sankhya, 59, 346

BillioM CaporinM GobboM.2003.Block dynamic conditional correlation multivariate GARCH models. Greta Working Paper 03.03.

BlackF.1976.Studies of stock market volatility changes.Proceedings of the American Statistical Association Business and Economic Statistics Section pp.177–181.

10.1016/0304-4076(86)90063-1

10.2307/2109358

10.1016/0304-4076(92)90064-X

10.2307/2951782

Bollerslev T, 1994, Handbook of Econometrics

10.1086/261527

10.1080/07474939208800229

Box GEP, 1970, Time Series Analysis, Forecasting and Control

10.1002/jae.717

10.1016/S0927-5398(00)00021-9

10.1016/S0377-2217(01)00361-7

10.1016/S0047-259X(02)00009-X

10.1016/S0304-405X(98)00029-4

10.1002/jae.3950040102

10.2307/2527342

10.1162/003465399558526

DingZ EngleRF.2001.Large scale conditional covariance matrix modeling estimation and testing. Working Paper FIN‐01‐029 NYU Stern School of Business.

10.1016/0927-5398(93)90006-D

DozC RenaultE.2003.Conditionally heteroskedastic factor models: identification and instrumental variables estimation. Mimeo.

10.1016/S0304-4076(97)00042-0

10.2307/2951767

10.2307/3316087

DufourJ‐M KhalafL BeaulieuM‐C.2003.Finite‐sample diagnostics for multivariate regression with applications to linear asset pricing models. Working Paper No. 06‐2003 CIREQ.

10.1016/S0304-4076(00)00084-1

10.1017/S0266466600009063

Engle R, 1996, GARCH for groups, RISK, 9, 36

10.2307/1912773

10.1198/073500102288618487

10.1080/07474938608800095

10.2307/1391236

EngleRF SheppardK.2001.Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Mimeo UCSD.

10.2307/2938189

10.1016/0304-4076(90)90099-F

10.1002/(SICI)1099-1255(199607)11:4<399::AID-JAE401>3.0.CO;2-R

10.1198/073500103288619232

10.1111/j.1468-0262.2004.00541.x

10.1016/S0304-405X(02)00259-3

10.1017/CBO9780511754067

GallantRA TauchenGE.2001.SNP: a program for nonparametric time series analysis.http://www.econ.duke.edu/get/.

10.1016/S0169-7161(96)14007-4

10.1002/jae.710

10.1111/j.1540-6261.1993.tb05128.x

10.1007/978-1-4612-1860-9

Gourieroux C, 2001, Financial Econometrics

10.1093/jjfinec/nbg001

HafnerCM.2004.Temporal aggregation of multivariate GARCH processes. Econometric Institute Report 29. Erasmus University Rotterdam.

Hafner C, 1998, Time‐varying market price of risk in the CAPM. Approaches, empirical evidence and implications, Finance, 19, 93

HafnerCM HerwartzH.2003.Analytical quasi maximum likelihood inference in multivariate volatility models. Econometric Institute Report 21. Erasmus University Rotterdam.

HafnerCM RomboutsJVK.2003.Estimation of temporally aggregated multivariate GARCH models. Core DP 2003/73.

HafnerCM RomboutsJVK.2004.Semiparametric multivariate volatility models. Econometric Institute Report 21. Erasmus University Rotterdam.

10.1111/1468-0262.00396

10.1080/096031098332916

10.1016/0304-4076(92)90068-3

10.2307/2297980

HeC TeräsvirtaT.2002a.An application of the analogy between vector ARCH and vector random coefficient autoregressive models. SSE/EFI Working Paper Series in Economics and Finance No. 516 Stockholm School of Economics.

HeC TeräsvirtaT.2002b.An extended conditional correlation GARCH model and its fourth‐moment structure. SSE/EFI Working Paper Series in Economics and Finance No. 509 Stockholm School of Economics.

Hosking JRM, 1980, The multivariate portmanteau statistic, Journal of American Statistical Association, 75, 602, 10.1080/01621459.1980.10477520

10.1017/S0266466698141038

Jondeau E, 2001, The copula‐GARCH model of conditional dependencies: an international stock‐market application, Journal of International Money and Finance

KariyaT.1988.MTV model and its application to the prediction of stock prices. InProceedings of the Second International Tampere Conference in Statistics Pullila T Puntanen S (eds). University of Tampere Finland.

10.2307/1392517

KawakatsuH.2003.Cholesky factor GARCH. Mimeo Quantitative Micro Software Irvine CA.

10.1111/j.1540-6288.2000.tb01405.x

10.1016/S0922-1425(99)00024-9

10.1093/rfs/11.4.817

10.1162/003465303322369858

10.1017/S0266466600008215

10.1111/1467-6419.00172

10.1002/jae.3950070304

10.1111/1467-9892.00061

10.1017/S0266466603192092

10.1016/0261-5606(94)00001-H

10.1023/A:1015001204774

10.2307/2171862

Lütkepohl H, 1996, Handbook of Matrices

10.1257/jel.37.2.633

MeddahiN RenaultE.1996.Aggregation and marginalization of GARCH and stochastic volatility models. Working Paper Department of Economics University of Montréal.

MencíaFJ SentanaE.2003.Estimation and testing of dynamic models with generalised hyperbolic innovations. Mimeo CEMFI.

10.1007/978-1-4757-3076-0

10.2307/1391681

10.2307/2938260

10.2307/1911011

10.2307/2171754

10.1016/0304-4076(94)01695-X

10.1016/0927-5398(95)00020-8

Palm FC, 1996, Handbook of Statistics

PattonA.2000.Modelling time‐varying exchange rate dependence using the conditional copula. University of California San Diego Discussion Paper 01–09.

Pelletier D, 2003, Regime switching for dynamic correlations, Journal of Econometrics

RigobonR SackB.2003.Spillover across US financial markets. NBER Working Paper 9640.

Riskmetrics.1996.Riskmetrics Technical Document 4th edn. J.P. Morgan: New York.

RomboutsJVK VerbeekM.2004.Evaluating portfolio Value‐At‐Risk using semi‐parametric GARCH models. Discussion Paper ERS‐2004‐107‐F&A Erasmus Research Institute of Management Erasmus University Rotterdam.

10.2307/2298081

10.1111/1368-423X.12014

10.1016/S0304-4076(01)00051-3

10.1007/978-1-4899-2879-5_1

Sklar A, 1959, Fonctions de répartition à n dimensions et leurs marges, Publications de l'Institut Statistique de l'Université de Paris, 8, 229

10.1016/0304-4076(85)90149-6

10.1002/1099-131X(200007)19:4<231::AID-FOR771>3.0.CO;2-#

10.1002/0471264105

10.1016/S0304-4076(99)00080-9

10.1111/1368-423X.t01-1-00088

10.1111/1467-9892.00166

10.1198/073500102288618496

10.1002/jae.688

10.2307/1391960

10.1111/1368-423X.t01-1-00111

10.1016/0165-1889(94)90039-6