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http://hdl.handle.net/10419/55634
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| Title: | | GARCH-based identification of triangular systems with an application to the CAPM: Still living with the roll critique  |
| Authors: | | Prono, Todd |
| Issue Date: | | 2007 |
| Series/Report no.: | | Working paper series // Federal Reserve Bank of Boston 07-1 |
| Abstract: | | This paper presents a new method for identifying triangular systems of time-series data. Identification is the product of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself both by allowing for a timevarying covariance and by not requiring a complete estimation of the GARCH parameters. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is provided. The identification method is then applied in testing a conditional version of the CAPM. |
| Subjects: | | Triangular systems endogeneity identification conditional heteroskedasticity generalized method of moments GARCH GMM CAPM |
| JEL: | | C13 C32 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, Federal Reserve Bank of Boston
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