Sequential conditional correlations: Inference and evaluation
Abstract: This paper presents a new approach to the modeling of conditional correlation matrices within the multivariate GARCH framework. The procedure, which consists in breaking the matrix into the product of a sequence of matrices with desirable characteristics, in effect converts a highly dimensional and intractable optimization problem into a series of simple and feasible estimations. This in turn allows for richer parameterizations and complex functional forms for the single components. An empirical application involving the conditional second moments of 69 selected stocks from the NASDAQ100 shows how the new procedure results in strikingly accurate measures of the conditional correlations
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Postprint
begutachtet (peer reviewed)
In: Journal of Econometrics ; 153 (2009) 2 ; 122-132
- Klassifikation
-
Wirtschaft
- Ereignis
-
Veröffentlichung
- (wo)
-
Mannheim
- (wann)
-
2009
- Urheber
-
Palandri, Alessandro
- DOI
-
10.1016/j.jeconom.2009.05.002
- URN
-
urn:nbn:de:0168-ssoar-251154
- Rechteinformation
-
Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:49 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Palandri, Alessandro
Entstanden
- 2009
Ähnliche Objekte (12)
Sequential conditional correlations: Inference and evaluation
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
The Gaussian conditional independence inference problem
Conditional Inference for the Dynamic Test Model
Statistical inference in conditional heteroskedastic autoregressive models
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Efficient information theoretic inference for conditional moment restrictions
The variability of conditional cooperation in sequential prisoner's dilemmas
A cautionary note on computing conditional from unconditional correlations
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Sequential detection of parameter changes in dynamic conditional correlation models
Sequential conditional correlations: Inference and evaluation
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
The Gaussian conditional independence inference problem
Conditional Inference for the Dynamic Test Model
Statistical inference in conditional heteroskedastic autoregressive models
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Efficient information theoretic inference for conditional moment restrictions
The variability of conditional cooperation in sequential prisoner's dilemmas
A cautionary note on computing conditional from unconditional correlations
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Sequential detection of parameter changes in dynamic conditional correlation models
Sequential conditional correlations: Inference and evaluation
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
The Gaussian conditional independence inference problem
Conditional Inference for the Dynamic Test Model
Statistical inference in conditional heteroskedastic autoregressive models
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Efficient information theoretic inference for conditional moment restrictions
The variability of conditional cooperation in sequential prisoner's dilemmas
A cautionary note on computing conditional from unconditional correlations
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Inference in VARs with Conditional Heteroskedasticity of Unknown Form