Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25542 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
CFS Working Paper No. 2008/07
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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 out-of-sample Value-at-Risk measures.
Schlagwörter: 
Conditional Volatility
Finite Normal Mixtures
Multivariate GARCH
Leverage Effect
JEL: 
C32
C51
G10
G11
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
597.69 kB





Publikationen in EconStor sind urheberrechtlich geschützt.