Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
| || |
|Title:||Asymmetric multivariate normal mixture GARCH |
Paolella, Marc S.
|Issue Date:||2008 |
|Series/Report no.:||CFS Working Paper 2008/07|
|Abstract:||An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating outofsample Value-at-Risk measures.|
Finite Normal Mixtures
|Persistent Identifier of the first edition:||urn:nbn:de:hebis:30-53240|
|Document Type:||Working Paper|
|Appears in Collections:||CFS Working Paper Series, Universität Frankfurt a. M.|
Download bibliographical data as:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.