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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Asymmetric multivariate normal mixture GARCH |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Computational Statistics and Data Analysis |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0167-9473 |
| Volume | 53 |
| Number | 6 |
| Page Range | 2129 - 2154 |
| Date | 2009 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1016/j.csda.2007.12.018 |
| Other Identification Number | merlin-id:479 |
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