Modeling covariance breakdowns in multivariate GARCH

doi:10.1016/j.jeconom.2016.03.003

CORC > 上海财经大学 > 上海财经大学

	Modeling covariance breakdowns in multivariate GARCH
	Jin, Xin 1,2; Maheu, John M.3
刊名	JOURNAL OF ECONOMETRICS
	2016-09
卷号	194 期号:1 页码:1-23
关键词	Correlation breakdown Marginal likelihood Particle filter Markov chain Generalized variance
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2016.03.003
英文摘要	This paper proposes a flexible way of modeling dynamic heterogeneous covariance breakdowns in multivariate GARCH models through a stochastic component that allows for changes in the conditional variances, covariances and implied correlation coefficients. Different breakdown periods will have different impacts on the conditional covariance matrix and are estimated from the data. We propose an efficient Bayesian posterior sampling procedure and show how to compute the marginal likelihood. Applied to daily stock market and bond market data, we identify a number of different covariance breakdowns which leads to a significant improvement in the marginal likelihood and gains in portfolio choice. (C) 2016 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000381324000001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1224]
专题	上海财经大学
通讯作者	Maheu, John M.
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China; 3.McMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada
推荐引用方式 GB/T 7714	Jin, Xin,Maheu, John M.. Modeling covariance breakdowns in multivariate GARCH[J]. JOURNAL OF ECONOMETRICS,2016,194(1):1-23.
APA	Jin, Xin,&Maheu, John M..(2016).Modeling covariance breakdowns in multivariate GARCH.JOURNAL OF ECONOMETRICS,194(1),1-23.
MLA	Jin, Xin,et al."Modeling covariance breakdowns in multivariate GARCH".JOURNAL OF ECONOMETRICS 194.1(2016):1-23.