1) La descarga del recurso depende de la página de origen
2) Para poder descargar el recurso, es necesario ser usuario registrado en Universia


Opción 1: Descargar recurso

Detalles del recurso

Descripción

The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate GARCH, specifically, the Full BEKK model, and demonstrate that Full BEKK which, in practice, is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We use simulated financial returns series to contrast estimates of the conditional variances and covariances from DBEKK and BEKK. The results of non-parametric tests suggest evidence of considerable bias in the Full BEKK estimates. The results of quantile regression analysis show there is a systematic relationship between the two sets of estimates as we move across the quantiles. Estimates of conditional variances from Full BEKK, relative to those from DBEKK, are lower in the left tail and higher in the right tail.

Pertenece a

E-Prints Complutense  

Autor(es)

Allen, David E. -  McAleer, Michael - 

Id.: 70092320

Idioma: inglés  - 

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveEconometría - 

Tipo de recurso: info:eu-repo/semantics/workingPaper  -  PeerReviewed  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

: cc_by_nc_sa

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] http://eprints.ucm.es/44631/

Fecha de contribución: 19-sep-2017

Contacto:

Localización:

Otros recursos del mismo autor(es)

  1. Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather A set of 115 tweets on climate change by President Trump, from 2011 to 2015, are analysed by means o...
  2. Economy car blitz / Mode of access: Internet.
  3. Risk Spillovers in Returns for Chinese and International Tourists to Taiwan Fluctuations in the numbers of visitors directly affect the rates of return on tourism business acti...
  4. Establishing National Carbon Emission Prices for China The purpose of the paper is to establish national carbon emissions prices for the People’s Republic ...
  5. Methode FE2 simplifiée appliquée à la modélisation des ruptures de fibres et de ses conséquences. Calcul de réservoirs composites = A simplified FE2 method to model fibre breaks and their consequences. Application to pressure vessels calculation National audience

Otros recursos de la mismacolección

  1. Accessible Geoparks in Iberia: a Challenge to Promote Geotourism and Education for Sustainable Development This work aims at providing an overview regarding accessibility conditions for people with functiona...
  2. Use of magnets for reversible restoration in sculpture. The case of the "Virgen de los Desamparados" in Valencia (Spain) In this paper, we present the use of a magnetic system for restoring a real piece of art: the Virgen...
  3. Régimen jurídico de la vivienda familiar Se analizan en el presente trabajo las especialidades de régimen que plantea la vivienda familiar en...
  4. La ayuda para el desarrollo de China en África. ¿Una alternativa a las relaciones de cooperación tradicionales?
  5. Citas suculentas Cansadas de reuniones e intercambios de saberes en despachos, y de la indigestión que provoca la pro...

Aviso de cookies: Usamos cookies propias y de terceros para mejorar nuestros servicios, para análisis estadístico y para mostrarle publicidad. Si continua navegando consideramos que acepta su uso en los términos establecidos en la Política de cookies.