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- Publisher Website: 10.1093/biomet/84.1.111
- Scopus: eid_2-s2.0-0000140190
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Article: On a multivariate conditional heteroscedastic model
Title | On a multivariate conditional heteroscedastic model |
---|---|
Authors | |
Keywords | Causality in volatility Conditional heteroscedastic arma model Random coefficient model Volatility |
Issue Date | 1997 |
Publisher | Oxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/ |
Citation | Biometrika, 1997, v. 84 n. 1, p. 111-123 How to Cite? |
Abstract | Tsay (1987) developed the conditional heteroscedastic autoregressive moving-average model, which includes the conditional heteroscedastic autoregressive and random coefficient autoregressive models as special cases. This paper establishes the multivariate conditional heteroscedastic autoregressive moving-average model, and considers its theoretical properties and applications. Maximum likelihood estimation of the model is discussed in detail. A representation of the information matrix is obtained using the star product. This enhances estimation and statistical inferences procedures. Some simulation results and an application to the volatility of the Standard & Poor's 500 and Sydney's All Ordinaries indices are also considered. |
Persistent Identifier | http://hdl.handle.net/10722/82978 |
ISSN | 2023 Impact Factor: 2.4 2023 SCImago Journal Rankings: 3.358 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wong, H | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:35:33Z | - |
dc.date.available | 2010-09-06T08:35:33Z | - |
dc.date.issued | 1997 | en_HK |
dc.identifier.citation | Biometrika, 1997, v. 84 n. 1, p. 111-123 | en_HK |
dc.identifier.issn | 0006-3444 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82978 | - |
dc.description.abstract | Tsay (1987) developed the conditional heteroscedastic autoregressive moving-average model, which includes the conditional heteroscedastic autoregressive and random coefficient autoregressive models as special cases. This paper establishes the multivariate conditional heteroscedastic autoregressive moving-average model, and considers its theoretical properties and applications. Maximum likelihood estimation of the model is discussed in detail. A representation of the information matrix is obtained using the star product. This enhances estimation and statistical inferences procedures. Some simulation results and an application to the volatility of the Standard & Poor's 500 and Sydney's All Ordinaries indices are also considered. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Oxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/ | en_HK |
dc.relation.ispartof | Biometrika | en_HK |
dc.rights | Biometrika. Copyright © Oxford University Press. | en_HK |
dc.subject | Causality in volatility | en_HK |
dc.subject | Conditional heteroscedastic arma model | en_HK |
dc.subject | Random coefficient model | en_HK |
dc.subject | Volatility | en_HK |
dc.title | On a multivariate conditional heteroscedastic model | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=84&issue=1&spage=111&epage=123&date=1997&atitle=On+a+multivariate+conditional+heteroscedastic+model | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/biomet/84.1.111 | - |
dc.identifier.scopus | eid_2-s2.0-0000140190 | en_HK |
dc.identifier.hkuros | 22004 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0000140190&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 84 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 111 | en_HK |
dc.identifier.epage | 123 | en_HK |
dc.identifier.isi | WOS:A1997WT08200010 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Wong, H=7402864953 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0006-3444 | - |