Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/29549 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorIngo, Kleinen
dc.contributor.authorChristian, Köcken
dc.contributor.authorFabian, Tinklen
dc.date.accessioned2009-11-09-
dc.date.accessioned2010-01-13T14:01:54Z-
dc.date.available2010-01-13T14:01:54Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/29549-
dc.description.abstractThe serial dependency of multivariate financial data will often be filtered by considering the residuals of univariate GARCH models adapted to every single series. This is the correct filtering strategy if the multivariate process follows a so-called copula based multivariate dynamic model (CMD). These multivariate dynamic models combine univariate GARCH in a linear or nonlinear way. In these models the parameters of the marginal distribution (=univariate GARCH models) and the dependence parameter are separable in the sense that they can be estimated in two or more steps. In the first step the parameters of the marginal distribution will be estimated and in the second step the parameter(s) of dependence.To the class of CMD models belong several multivariate GARCH models like the CCC and the DCC model. In contrast the BEKK model, f.e., does not belong to this class. If the BEKK model is correctly specified the above mentioned filtering strategy could fail from a theoretical point of view. Up to now, it is not known which dynamic copula is incorporated in a BEKK model. We will show that if the distribution of the innovations (i.e. the residuals) of MGARCH models is spherical the conditional distribution of the whole MGARCH process belongs to the elliptical distribution family. Therefore estimating the dependence of a BEKK model by copulas from the elliptical family should be an appropriate strategy to identify the dependence (i.e. correlation) between the univariate time series. Furthermore we will show, that a diagonal BEKK model can be separated in its margins and a copula, but that this strategy falls short of investigating full BEKK models.en
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x11/2009en
dc.subject.ddc330en
dc.subject.stwARCH-Modellen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwFinanzmarkten
dc.subject.stwSimulationen
dc.subject.stwTheorieen
dc.titleSpatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study-
dc.type|aWorking Paperen
dc.identifier.ppn612509605en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:112009en

Datei(en):
Datei
Größe
276.2 kB





Publikationen in EconStor sind urheberrechtlich geschützt.