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Multivariate Simultaneous Generalized ARCH
Abstract
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance stationarity are presented. Identification and maximum likelihood estimation of the parameters in the simultaneous equations context are also covered.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citation
Cited by
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Self-citationMODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbl005 · Cited by 1,767
Self-citationDynamic correlation analysis of financial contagion: Evidence from Asian markets
Chiang, T. C., Jeon, B. N., & Li, H. (2007) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2007.06.005 · Cited by 894
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Metadata
- Authors
- Engle, R. F., & Kroner, K. F.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1995-02
- Volume
- 11
- Issue
- 1
- Pages
- 122-150
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W1977480757
- Cited by
- 4,487
- References
- 1
- FWCI
- 46.37
- Type
- journal article
- Language
- en
- Open access
- closed
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- Engle, R. F., & Kroner, K. F. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory. https://doi.org/10.1017/s0266466600009063
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
